Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools

DOI10.1142/S0219024912500112zbMATH Open1282.91356OpenAlexW3125083967MaRDI QIDQ2882686FDOQ2882686

Authors: Nicolas Diener, Robert A. Jarrow, Philip Protter 

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500112

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zbMATH Keywords

credit derivativesconditional central limit theoremtop-downCDOsABS

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Central limit and other weak theorems (60F05) Credit risk (91G40)

Cites Work

• Hazard rate for credit risk and hedging defaultable contingent claims
• Discretization of processes.
• Structured credit portfolio analysis, baskets \& CDOs
• Title not available (Why is that?)
• Risk-neutral compatibility with option prices
• Absolutely continuous compensators
• Changes of filtrations and of probability measures
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Cited In (1)

• A simple top-down approach for pricing portfolio credit derivatives

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