A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
Year of publication: |
2008
|
---|---|
Authors: | SIDENIUS, JAKOB ; PITERBARG, VLADIMIR ; ANDERSEN, LEIF |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 11.2008, 02, p. 163-197
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Dynamic model of CDOs | dynamic copula | conditional Markov process | options on tranches | option on CDO tranche | portfolio loss | SPA model | leveraged super-senior |
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