Pricing CDO tranches in an intensity based model with the mean reversion approach (Q614311)
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scientific article; zbMATH DE number 5829584
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing CDO tranches in an intensity based model with the mean reversion approach |
scientific article; zbMATH DE number 5829584 |
Statements
Pricing CDO tranches in an intensity based model with the mean reversion approach (English)
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27 December 2010
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credit risk
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intensity based model
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mean reversion
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collateralized debt obligations (CDOs)
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cashflow CDO
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synthetic CDO
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