RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515): Difference between revisions

@@ Property / cites work @@
+BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
+Normal rank
@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+The minimum-entropy algorithm and related methods for calibrating asset-pricing models
+Normal rank
@@ Property / cites work @@
+WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
+Normal rank
@@ Property / cites work @@
+Forward equations for option prices in semimartingale models
+Normal rank
@@ Property / cites work @@
+CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
+Normal rank
@@ Property / cites work @@
+Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration
+Normal rank
@@ Property / cites work @@
+Dynamic Hedging of Portfolio Credit Derivatives
@@ Property / cites work: Dynamic Hedging of Portfolio Credit Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+I-divergence geometry of probability distributions and minimization problems
+Normal rank
@@ Property / cites work @@
+Sanov property, generalized I-projection and a conditional limit theorem
+Normal rank
@@ Property / cites work @@
+Time-Changed Birth Processes and Multiname Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
+Normal rank
@@ Property / cites work @@
+Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Programming and Duality in Normed Space
@@ Property / cites work: Convex Programming and Duality in Normed Space / rank @@
+Normal rank
@@ Property / cites work @@
+Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
+Normal rank
@@ Property / cites work @@
+Pricing via utility maximization and entropy.
@@ Property / cites work: Pricing via utility maximization and entropy. / rank @@
+Normal rank
@@ Property / cites work @@
+Background filtrations and canonical loss processes for top-down models of portfolio credit risk
+Normal rank
@@ Property / cites work @@
+A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank