搜索结果: 1-2 共查到“经济学 Portfolio Credit Derivatives”相关记录2条 . 查询时间(0.096 秒)
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...