Doubly Stochastic CDO Term Structures

DOI10.1007/978-3-0348-0021-1_23zbMath1246.91144OpenAlexW2165367423MaRDI QIDQ2904888

Thorsten Schmidt, Damir Filipović, Ludger Overbeck

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_23

zbMATH Keywords

affine term structurecollateralized debt obligationsloss processsingle tranche CDOterm structure of forward spreads

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Credit risk (91G40)

Cites Work

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