A dynamic approach to the modeling of correlation credit derivatives using markov chains

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 1, 2009, Pages 45-62

  Di Graziano, Giuseppe ^a   Rogers, L C G ^b  

^a DEUTSCHE BANK AG   (Germany)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

CDO; Copula; Correlation; Credit derivatives; Default risk; Laplace transform; Markov chain

Indexed keywords

EID: 65249151328     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005142     Document Type: Article

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