Valuation of forward-starting CDOs

DOI10.1080/00207160802380959MaRDI QIDQ3636732zbMATH OpenOpenAlexFDO

Authors Ken Jackson, Wanhe Zhang

Publication date 29 June 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160802380959

zbMATH Keywords

conditional independencecredit derivativesforward-starting CDOsGaussian factor copula

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• Fast valuation of forward-starting basket default swaps

Cited in

(2)

• Fast valuation of forward-starting basket default swaps
• Market Models of Forward CDS Spreads

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