Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
From MaRDI portal
Publication:3606103
DOI10.1007/978-3-7908-2050-8_12zbMath1154.91517OpenAlexW139911216MaRDI QIDQ3606103
Dezhong Wang, Frank J. Fabozzi, Svetlozar T. Rachev
Publication date: 26 February 2009
Published in: Contributions to Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_12
Related Items
Valuation of portfolio credit derivatives with default intensities using the Vasicek model, Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model, A structural jump-diffusion model for pricing collateralized debt obligations tranches, CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading, Combining forecasts in the presence of ambiguity over correlation structures
Cites Work