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Implied Expected Tranched Loss Surface from CDO Data
3 references·1 citing·16 second hop
Implied Expected Tranched Loss Surface from CDO Data (2006)Implied Expected Tranched Loss Surface fr…Valuation of credit default swaps (2008)Valuation of credit default s…Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)Calibration of CDO Tranches w…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Hedging CDO Tranches in a Markovian Environment (2010)Hedging CDO Tranches in a Mar…Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)A Top-Down Approach to Multi-Name Credit (2005)BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (2008)RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2008)Time-Changed Birth Processes and Multiname Credit Derivatives (2009)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)The Price Impact of Rating Announcements: Which Announcements Matter? (2007)Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads (2010)Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics (2012)Point Processes and Queues (1981)Implied Binomial Trees (1994)Stochastic Integration and Differential Equations (2005)
this work references cited by second hop

References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2008Valuation of credit default swaps110 cited
  • 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model107 cited

Cited by

  • 2010Hedging CDO Tranches in a Markovian Environment29 cited

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