Default intensities implied by CDO spreads: inversion formula and model calibration (Q3580037)
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scientific article; zbMATH DE number 5769050
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| English | Default intensities implied by CDO spreads: inversion formula and model calibration |
scientific article; zbMATH DE number 5769050 |
Statements
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration (English)
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11 August 2010
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portfolio credit derivatives
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collateralized debt obligation
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inverse problem
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expected tranche notionals
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quadratic programming
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calibration
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0.8807768225669861
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0.8293907046318054
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0.7969099283218384
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0.7806446552276611
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0.7804841995239258
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