Default intensities implied by CDO Spreads: Inversion formula and model calibration

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 555-585

  Cont, Rama ^a   Deguest, Romain ^a   Kan, Yu Hang ^a  

^a Columbia University ^*  (United States)

Author keywords

Calibration; Collateralized debt obligation; Default intensity; Duffie Garleanu model; Dupire formula; Effective intensity; Expected tranche notionals; Herbertsson model; Inverse problem; Portfolio credit derivatives; Quadratic programming; Student tcopula; Tranche

Indexed keywords

EID: 77958461380     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/09076800X     Document Type: Article

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