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Implied Expected Tranched Loss Surface from CDO Data · Study

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PreprintImplied Expected Tranched Loss Surface from CDO Data

Roberto Torresetti2006

OA

Preprintgreen2006

Implied Expected Tranched Loss Surface from CDO Data

Roberto Torresetti · Damiano Brigo · Andrea Pallavicini

33 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1978Prices of State-Contingent Claims Implicit in Option Prices 2008Valuation of credit default swaps 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

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2010Hedging CDO Tranches in a Markovian Environment

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations33

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.933291

openalex_workW1524640660

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