Simulation/Regression Pricing Schemes for CVAa Computations on CDO Tranches
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Elsevier BV
Reference27 articles.
1. CVA computation for counterparty risk assessment in credit portfolios;S Assefa;Recent advancements in theory and practice of credit derivatives,2011
2. Dynamic Modeling of Portfolio Credit Risk with Common Shocks
3. A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
4. Markov Chain Models of Portfolio Credit Risk;T R Bielecki;Oxford Handbook of Credit Derivatives,2011
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1. A High-Dimensional Pricing Framework for Fi nancial Instruments Valuation;SSRN Electronic Journal;2014
2. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;Journal of Optimization Theory and Applications;2013-05-15
3. A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues;SSRN Electronic Journal;2013
4. A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries;SSRN Electronic Journal;2012
5. Dynamic Modeling of Portfolio Credit Risk with Common Shocks;SSRN Electronic Journal;2011
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