Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
Year of publication: |
2007-10-31
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Authors: | Herbertsson, Alexander |
Institutions: | Nationalekonomiska institutionen, Handelshögskolan |
Subject: | Credit risk | intensity-based models | CDO tranches | index CDS | kth-to-default swaps | dependence modelling | default contagion | Markov jump processes | Matrix-analytic methods |
Extent: | text/html |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Working Papers in Economics Number 270 28 pages |
Classification: | C02 - Mathematical Methods ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure ; G33 - Bankruptcy; Liquidation |
Source: |
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Default Contagion in Large Homogeneous Portfolios
Herbertsson, Alexander, (2007)
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Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach
Herbertsson, Alexander, (2007)
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Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander, (2009)
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A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Bielecki, T.R., (2012)
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Bielecki, Tomasz R., (2011)
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Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander, (2009)
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