Metadata language
The market model of CDO spreads
Subtitle:Raport Badawczy = Research Report ; RB/58/2015
Creator:Gątarek, Dariusz ; Petrov, Vesselin ; Stavrou, Athanasios
Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:149-162 stron ; 21 cm ; Bibliografia s. 161-162
Abstract: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.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: Rights:Licencja Creative Commons Uznanie autorstwa 4.0
Terms of use:Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -
Digitizing institution:Instytut Badań Systemowych Polskiej Akademii Nauk
Original in:Biblioteka Instytutu Badań Systemowych PAN
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