Aggregating sectors in the infectious defaults model

Quantitative Finance

Volumn 4, Issue 1, 2004, Pages 64-69

  Hammarlid, Ola ^a  

^a STOCKHOLM UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1542508804     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/4/1/006     Document Type: Article

References (7)

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2. Cifuentes A and O’Conner G 1996 The binomial expansion method applied to CBO/CLO analysis Special Report Moody’s Investment Services
3. Davis M and Lo V 2001 Infectious defaults Quant. Finance 1 382–7
4. Davis M and Lo V 2001 Modelling default correlation in bond portfolios Mastering Risk vol 2 Applications ed C Alexander (Englewood Cliffs, NJ: Financial Times/Prentice-Hall) pp 141–51
5. Embrechts P, McNeil A and Straumann D 1998 Correlation and dependency in risk management: properties and pitfalls Working Paper
6. Gluck J and Remeza H 2000 Moody’s approach to rating multisector CDOs Special Report Moody’s Investment Services
7. Rolski T et al 1999 Stochastic Processes for Insurance and Finance (Wiley Series in Probability and Statistics) (New York: Wiley)