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

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References

2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
2005A Top-Down Approach to Multi-Name Credit139 cited

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2008Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach37 cited
2007LÉVY SIMPLE STRUCTURAL MODELS37 cited

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2014A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries35 cited

2006Implied Expected Tranched Loss Surface from CDO Data33 cited

2010Hedging CDO Tranches in a Markovian Environment29 cited