Valuation of portfolio loss derivatives in an infectious model

MaRDI QIDQ2888095zbMATH OpenFDO

Authors Areski Cousin, Diana Dorobantu, Didier Rullière

Publication date 30 May 2012

zbMATH Keywords

exchangeabilitycredit riskcontagion modelCDO tranchesdefault distributiondependent defaults

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• An extension of Davis and Lo's contagion model
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Cited in

(3)

• On infectious model for dependent defaults
• An extension of Davis and Lo's contagion model
• Aggregating sectors in the infectious defaults model

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