SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

DOI10.1142/S0219024909005439zbMath1175.91165OpenAlexW2146519003MaRDI QIDQ3643588

Michael B. Walker

Publication date: 9 November 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005439

zbMATH Keywords

calibrationforward-start CDO'sleveraged super-senior tranchesmulti-step Markov modeloptions on CDO's

Mathematics Subject Classification ID

Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The static hedging of CDO tranche correlation risk
• STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS
• PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
• JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS

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