On the term structure of loss distributions: a forward model approach

DOI10.1142/S0219024907004366MaRDI QIDQ5169990zbMATH OpenFDO

Authors J. Sidenius

Publication date 17 July 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024907004366

zbMATH Keywords

CDO pricingCDO term structurecopula chaincopula modelforward base correlationsforward copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(4)

• Correlation smile matching for collateralized debt obligation tranches with -stable distributions and fitted Archimedean copula models
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH
• A generic framework for stochastic loss-given-default

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