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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 stron ; 21 cm ; Bibliografia s. 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
Licencja Creative Commons Uznanie autorstwa 4.0
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: ; -
Instytut Badań Systemowych Polskiej Akademii Nauk
Biblioteka Instytutu Badań Systemowych PAN
Oct 19, 2021
Oct 19, 2021
36
https://rcin.org.pl./publication/255093
Edition name | Date |
---|---|
RB-2015-58 : Gątarek Dariusz, Petrov Vesselin, Stavrou Athanasios : The market model of CDO spreads | Oct 19, 2021 |
Gątarek, Dariusz
Rudnicki, Jerzy Gątarek, Dariusz