A new framework for dynamic credit portfolio loss modelling

International Journal of Theoretical and Applied Finance

Volumn 11, Issue 2, 2008, Pages 163-197

  Sidenius, Jakob ^a   Piterbarg, Vladimir ^b   Andersen, Leif ^c  

^a JPMorganChase   (United Kingdom)

^b Barclays   (United Kingdom)

^c Bank of America   (United States)

Author keywords

Conditional Markov process; Dynamic copula; Dynamic model of CDOs; Leveraged super senior; Option on CDO tranche; Options on tranches; Portfolio loss; SPA model

Indexed keywords

EID: 44249097815     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024908004762     Document Type: Article

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