Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 4, 2007, Pages 607-631

  Brigo, Damiano ^a   Pallavicini, Andrea ^a   Torresettis, Roberto ^a  

^a Credit Models Banco IMI   (Italy)

Author keywords

Calibration; Cluster default dynamics; Common Poisson shock models; Generalized Poisson processes; Loss distribution; Single name default dynamics; Spread dynamics; Stochastic intensity

Indexed keywords

EID: 34547268087     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004342     Document Type: Article

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