Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration

DOI10.1137/09076800XzbMath1205.91169OpenAlexW3125564639MaRDI QIDQ3580037

Rama Cont, Romain Deguest, Yu Hang Kan

Publication date: 11 August 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/09076800x

zbMATH Keywords

quadratic programminginverse problemcalibrationcollateralized debt obligationportfolio credit derivativesexpected tranche notionals

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Markov processes: estimation; hidden Markov models (62M05) Quadratic programming (90C20) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

A Multivariate Default Model with Spread and Event Risk ⋮ RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES ⋮ An extension of Davis and Lo's contagion model ⋮ On break-even correlation: the way to price structured credit derivatives by replication ⋮ A set-valued Markov chain approach to credit default

Uses Software

• LOQO

This page was built for publication: Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration