Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: CDO pricing

Sortuj według:

Ogranicz wyniki do:

The market model of CDO spreads

Gątarek D., Petrov V., Stavrou A.

Control and Cybernetics

2015

Vol. 44, no. 1

149--162

In this paper we present a new arbitrage-free bottomup model of correlated defaults, based on a special approach to systematic and idiosyncratic risks for individual obligors. The model admits several attractive features, like consistency with currency and interest rate models, as well as numerical tractability and ﬂexibility, making it capable to ﬁt the market for practically all self consistent CDO tranche prices. Its background is rather remote from other approaches, like copulas and point processes, so our presentation is detailed.