ELOUERKHAOUI, YOUSSEF - In: International Journal of Theoretical and Applied … 10 (2007) 04, pp. 703-731
In this paper, we present a methodology for pricing and hedging portfolio credit derivatives in a dynamic credit model. Starting with a single-name Marshall–Olkin framework, we build a dynamic top-down version of the model, which is tractable and preserves the intuition of the original...