Recovering Portfolio Default Intensities Implied by CDO Quotes-Reference-Cited by-同舟云学术

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Recovering Portfolio Default Intensities Implied by CDO Quotes

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cont Rama,Minca Andreea

Publisher

Elsevier BV

Reference40 articles.

1. BSLP: Markovian Bivariate SpreadLoss Model for Portfolio Credit Derivatives;M Arnsdorff;Journal of Computational Finance,2008

2. Calibrating the volatility surfaces via relative entropy minimization;M Avellaneda;Applied Mathematical Finance,1997

3. The minimum-entropy algorithm and related methods for calibrating asset-pricing models;M Avellaneda;Proceedings of the International Congress of Mathematicians,1998

4. Weighted Monte Carlo: a new technique for calibrating asset-pricing models;M Avellaneda;Int. J. Theor. Appl. Finance,2001

Cited by 20 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. Bibliography;Credit Models and the Crisis;2015-08-21

2. An extension of Davis and Lo's contagion model;Quantitative Finance;2013-03

3. Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice;Credit Risk Frontiers;2012-09-07

4. An Introduction to Multiname Modeling in Credit Risk;Credit Risk Frontiers;2012-09-07

5. Toward Market-Implied Valuations of Cash-Flow CLO Structures;Credit Risk Frontiers;2012-09-07

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