WALKER, MICHAEL B. - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 633-662
This article describes a dynamic discrete-time multi-step Markov model for the losses experienced by a given credit portfolio, and develops a method for the simultaneous calibration of the model to all available relevant market prices (for CDO's, forward-start CDO's, options on CDO's, leveraged...