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Gątarek, Dariusz ; Petrov, Vesselin ; Stavrou, Athanasios
Raport Badawczy = Research Report ; RB/58/2015
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
149-162 pages ; 21 cm ; Bibliography p. 161-162
In this paper, we present a new arbitrage-free bottom-up 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.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 19, 2021
Oct 19, 2021
36
https://rcin.org.pl./publication/255093
Edition name | Date |
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RB-2015-58 : Gątarek Dariusz, Petrov Vesselin, Stavrou Athanasios : The market model of CDO spreads | Oct 19, 2021 |
Gątarek, Dariusz
Rudnicki, Jerzy Gątarek, Dariusz