Valuation of portfolio loss derivatives in an infectious model

zbMATH Open1238.91130MaRDI QIDQ2888095FDOQ2888095

Authors: Areski Cousin, Diana Dorobantu, Didier Rullière 

Publication date: 30 May 2012

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zbMATH Keywords

exchangeabilitycredit riskcontagion modelCDO tranchesdefault distributiondependent defaults

Mathematics Subject Classification ID

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

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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