• Search in all Repository
  • Literature and maps
  • Archeology
  • Mills database
  • Natural sciences

Search in Repository

How to search...

Advanced search

Search in Literature and maps

How to search...

Advanced search

Search in Archeology

How to search...

Advanced search

Search in Mills database

How to search...

Advanced search

Search in Natural sciences

How to search...

Advanced search

RCIN and OZwRCIN projects

Object

Title: The market model of CDO spreads

Subtitle:

Raport Badawczy = Research Report ; RB/58/2015

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

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

Detailed Resource Type:

Raport

Resource Identifier:

oai:rcin.org.pl:217482

Source:

RB-2015-58

Language:

eng

Language of abstract:

eng

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

Projects co-financed by:

Program Operacyjny Polska Cyfrowa, lata 2014-2020, Działanie 2.3 : Cyfrowa dostępność i użyteczność sektora publicznego; środki z Europejskiego Funduszu Rozwoju Regionalnego oraz współfinansowania krajowego z budżetu państwa

Access:

Otwarty

Object collections:

Last modified:

Oct 19, 2021

In our library since:

Oct 19, 2021

Number of object content downloads / hits:

36

All available object's versions:

https://rcin.org.pl./publication/255093

Show description in RDF format:

RDF

Show description in RDFa format:

RDFa

Show description in OAI-PMH format:

OAI-PMH

×

Citation

Citation style:

This page uses 'cookies'. More information