Pricing CDO tranches in an intensity based model with the mean reversion approach-Reference-Cited by-同舟云学术

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Pricing CDO tranches in an intensity based model with the mean reversion approach

Published:2010-09 Issue:5-6 Volume:52 Page:814-825
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Wu Jiang-Lun,Yang Wei

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference64 articles.

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2. On default correlation: a copula approach;Li;Journal of Fixed Income,2000

3. All your hedges in one basket;Andersen;RISK,2003

4. The t copula and related copulas;Demarta;International Statistical Review,2005

5. Modelling dependence with Copulas and applications to risk management;Embrechts,2003

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