Pricing CDOs with state-dependent stochastic recovery rates

DOI10.1080/14697688.2012.663925zbMath1279.91170OpenAlexW3121366534MaRDI QIDQ2873547

Jean-Paul Laurent, Laurent Cousot, Salah Amraoui, Sebastien Hitier

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.663925

zbMATH Keywords

copulascredit derivativescorrelation structuresinsurance mathematicscredit models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Research on CDS pricing model with endogenous recovery rate ⋮ Pricing industry loss warranties in a Lévy-Frailty framework ⋮ On break-even correlation: the way to price structured credit derivatives by replication ⋮ Piecewise constant martingales and lazy clocks

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