RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515)
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scientific article; zbMATH DE number 6139569
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES |
scientific article; zbMATH DE number 6139569 |
Statements
RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (English)
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28 February 2013
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collateralized debt obligation
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duality
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portfolio credit derivatives
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reduced-form models
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default risk
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intensity control
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top-down credit risk models
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relative entropy
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inverse problem
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model calibration
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stochastic control
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