Recovering portfolio default intensities implied by CDO quotes
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Publication:4906515
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Cites work
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
- A solution approach to valuation with unhedgeable risks
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk
- Calibrating volatility surfaces via relative-entropy minimization
- Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
- Convex Programming and Duality in Normed Space
- Default intensities implied by CDO spreads: inversion formula and model calibration
- Dynamic hedging of portfolio credit derivatives
- Forward equations for option prices in semimartingale models
- I-divergence geometry of probability distributions and minimization problems
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- On Cox processes and credit risky securities
- Pricing via utility maximization and entropy.
- Sanov property, generalized I-projection and a conditional limit theorem
- The minimum-entropy algorithm and related methods for calibrating asset-pricing models
- Time-changed birth processes and multiname credit derivatives
- Two-dimensional Markovian model for dynamics of aggregate credit loss
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
Cited in
(27)- Mimicking finite dimensional marginals of a controlled diffusion with jumps
- Equity correlations implied by index options: estimation and model uncertainty analysis
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- A set-valued Markov chain approach to credit default
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
- Stochastic local intensity loss models with interacting particle systems
- Default intensities implied by CDO spreads: inversion formula and model calibration
- Forward equations for option prices in semimartingale models
- Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
- Portfolio credit risk with predetermined default orders
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Robust risk measurement and model risk
- Pricing credit from the top down with affine point processes
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Utility valuation of multi-name credit derivatives and application to CDOs
- Dynamic CDO term structure modeling
- Dynamics of multivariate default system in random environment
- Reduced-form framework for multiple ordered default times under model uncertainty
- Valuation of portfolio loss derivatives in an infectious model
- Measure distorted arrival rate risks and their rewards
- An extension of Davis and Lo's contagion model
- From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Doubly stochastic CDO term structures
- Interacting default intensity with a hidden Markov process
- Implied default probability and credit derivatives
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