Credit derivatives Pricing distressed CDOs with base correlation and stochastic In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations frequently. broke down. To overcome that problem, the author has embedded the model with correlated stochastic recovery rates. He shows that with his extension the calibration range of standard tranches is ...
| Year of publication: |
2010
|
|---|---|
| Authors: | Krekel, Martin |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 7, p. 82-87
|