Doubly Stochastic CDO Term Structures
type: Item
instance of: scholarly article
title: Doubly Stochastic CDO Term Structures
zbMATH Open document ID: 1246.91144
DOI: 10.1007/978-3-0348-0021-1_23
author: Damir Filipović
author: Thorsten Schmidt
author: L. Overbeck
published in: Seminar on Stochastic Analysis, Random Fields and Applications VI
publication date: 2012-08-24T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6071124
zbMATH Keywords: affine term structure
zbMATH Keywords: collateralized debt obligations
zbMATH Keywords: loss process
zbMATH Keywords: single tranche CDO
zbMATH Keywords: term structure of forward spreads
MaRDI profile type: MaRDI publication profile
full work available at URL: 978-3-0348-0021-1 23
OpenAlex ID: W2165367423
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description: scientific article; zbMATH DE number 6071124