Collateralized Debt Obligations Pricing and Actor Models: A New Methodology using Normal Inverse Gaussian Distributions-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Collateralized Debt Obligations Pricing and Actor Models: A New Methodology using Normal Inverse Gaussian Distributions

Published:2005 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Guegan Dominique,Houdain Julien P

Publisher

Elsevier BV

Reference33 articles.

1. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings;L Andersen;Journal of Credit Risk,2005

2. All Your Hedges in One Basket;L Andersen;RISK,2003

3. Normal Inverse Gaussian processes and stochastic volatility modelling;O E Barndorff-Nielsen;Scandinavian Journal of Statistics,1997

4. A one-parameter representation of credit risk and transition matrices;B Belkin;Credit Metrics Monitor,1998

5. Quatification of risk in norwegian stocks via the normal inverse Gaussian distribution;E Bolviken;Proceedings of the AFIR 2000 Colloquium,2000

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quantum computation for pricing the collateralized debt obligations;Quantum Engineering;2021-11-18

2. Bibliography;Lévy Processes in Credit Risk;2015-10-23

3. Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions;Mathematical and Computer Modelling;2013-02

4. CIID Frailty Models and Implied Copulas;Copulae in Mathematical and Quantitative Finance;2013

5. Factor Distributions Implied by Quoted CDO Spreads;Frontiers in Quantitative Finance;2012-01-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP