DYNAMIC CDO TERM STRUCTURE MODELING

DOI10.1111/j.1467-9965.2010.00421.xzbMath1229.91306OpenAlexW2108790053MaRDI QIDQ3069957

Thorsten Schmidt, Damir Filipović, Ludger Overbeck

Publication date: 2 February 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00421.x

zbMATH Keywords

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

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A general HJM framework for multiple yield curve modelling, Backward SDE representation for stochastic control problems with nondominated controlled intensity, DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES, Dependent defaults and losses with factor copula models, Dynamics of multivariate default system in random environment, Shot-noise driven multivariate default models, Reduced-form framework for multiple ordered default times under model uncertainty, A contagion process with self-exciting jumps in credit risk applications, The law of large numbers for self-exciting correlated defaults, CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS, DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM, Affine processes on positive semidefinite matrices, Forward equations for option prices in semimartingale models, Monotonicity of the collateralized debt obligations term structure model, Copula dynamics in CDOs

Uses Software

• QRM

Cites Work

• Unnamed Item
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