Pricing CDOs with state-dependent stochastic recovery rates

DOI10.1080/14697688.2012.663925MaRDI QIDQ2873547zbMATH OpenOpenAlexFDO

Authors Salah Amraoui, Laurent Cousot, Sebastien Hitier, Jean-Paul Laurent

Publication date 24 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.663925

zbMATH Keywords

copulascorrelation structurescredit derivativescredit modelsinsurance mathematics

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

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Cited in

(7)

• Pricing industry loss warranties in a Lévy-Frailty framework
• Research on CDS pricing model with endogenous recovery rate
• Piecewise constant martingales and lazy clocks
• On break-even correlation: the way to price structured credit derivatives by replication
• Probability density of recovery rate given default of a firm's debt and its constituent tranches
• Pricing distressed CDOs with stochastic recovery
• A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries

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