RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS

DOI10.1142/S0219024912500112zbMath1282.91356OpenAlexW3125083967MaRDI QIDQ2882686

Nicolas Diener, Robert A. Jarrow, Philip E. Protter

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500112

zbMATH Keywords

credit derivativesconditional central limit theoremtop-downCDOsABS

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• Hazard rate for credit risk and hedging defaultable contingent claims
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• ABSOLUTELY CONTINUOUS COMPENSATORS
• Changes of filtrations and of probability measures
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

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