Valuation of forward-starting CDOs

DOI10.1080/00207160802380959zbMATH Open1163.91405OpenAlexW2156311073MaRDI QIDQ3636732FDOQ3636732

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

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zbMATH Keywords

conditional independencecredit derivativesforward-starting CDOsGaussian factor copula

Mathematics Subject Classification ID

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

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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