ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

We define forward copula models and introduce the concept of "chaining" such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.

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Year of publication:	2007
Authors:	SIDENIUS, JAKOB
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 04, p. 749-761
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	CDO pricing \| copula model \| forward copula \| copula chain \| CDO term structure \| forward base correlations

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004971792