Pricing CDO tranches in an intensity based model with the mean reversion approach

DOI10.1016/j.mcm.2010.05.012zbMath1202.91338OpenAlexW1971127067MaRDI QIDQ614311

Jiang-Lun Wu, Wei Yang

Publication date: 27 December 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.05.012

zbMATH Keywords

credit riskmean reversioncashflow CDOcollateralized debt obligations (CDOs)intensity based modelsynthetic CDO

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (4)

On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations ⋮ A contagion process with self-exciting jumps in credit risk applications ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

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