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Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model · Study

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PreprintCalibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Damiano Brigo2006

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Preprintgreen2006

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Damiano Brigo · Andrea Pallavicini · Roberto Torresetti

107 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

2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2005A Top-Down Approach to Multi-Name Credit

Cited by

2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives 2008RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES 2009Time-Changed Birth Processes and Multiname Credit Derivatives 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model 2011Stochastic Evolution Equations in Portfolio Credit Modelling 2011Premia for correlated default risk 2010Hedging default risks of CDOs in Markovian contagion models 2010Up and down credit risk

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2009A Comparative Analysis of CDO Pricing Models under the Factor Copula Frameworkarticle · 2 shared references 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Modelarticle · 2 shared references 2008Hierarchical Insurance Claims Modelingarticle · 1 shared reference 2006The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinionsarticle · 1 shared reference 2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivativesarticle · 1 shared reference 2012On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligationsarticle · 1 shared reference

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Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations107

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.900549

openalex_workW1540689970

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