RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
type: Item
instance of: scholarly article
title: RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
zbMATH Open document ID: 1282.91354
author: Rama Cont
author: Andreea Minca
published in: Mathematical Finance
publication date: 2013-02-28T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 6139569
zbMATH Keywords: collateralized debt obligation
zbMATH Keywords: duality
zbMATH Keywords: portfolio credit derivatives
zbMATH Keywords: reduced-form models
zbMATH Keywords: default risk
zbMATH Keywords: intensity control
zbMATH Keywords: top-down credit risk models
zbMATH Keywords: relative entropy
zbMATH Keywords: inverse problem
zbMATH Keywords: model calibration
zbMATH Keywords: stochastic control
MaRDI profile type: Publication
full work available at URL: j.1467-9965.2011.00491.x
OpenAlex ID: W3124160426
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DOI: 10.1111/J.1467-9965.2011.00491.X
description: scientific article; zbMATH DE number 6139569