SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Correlation expansions for CDO pricing · Study

ArticleShelves

ArticleCorrelation expansions for CDO pricing

Paul Glasserman2006

Article2006

Correlation expansions for CDO pricing

Paul Glasserman · Sira Suchintabandid

41 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 41 citations exist upstream.

References

2000On Default Correlation 2003Credit Derivatives Pricing Models 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation 2005Basket default swaps, CDOs and factor copulas 1997Valuing moving barrier options

Cited by

2021Credit portfolio optimization: A multi-objective genetic algorithm approach 2009Technological Change, Financial Innovation, and Diffusion in Banking

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Sensitivity estimates for portfolio credit derivatives using Monte Carloarticle · 4 shared references 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivativesbook · 3 shared references 2015Modeling Dependence in High Dimensions With Factor Copulasarticle · 3 shared references 2006Valuing Credit Derivatives Using an Implied Copula Approacharticle · 3 shared references 2010The valuation of correlation-dependent credit derivatives using a structural modelarticle · 3 shared references 2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Modelsarticle · 3 shared references

Details

Year2006

Typearticle

Published2006-12-20

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations41

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.1016/j.jbankfin.2006.10.018

openalex_workW2016309046

Links

Imported from OpenAlex (CC0) — nothing here is generated.