dynamic cdo term structure modeling

Mathematical Finance

Volumn 21, Issue 1, 2011, Pages 53-71

  Filipović, Damir ^a   Overbeck, Ludger ^b   Schmidt, Thorsten ^c  

^a EPFL   (Switzerland)

^b JUSTUS LIEBIG UNIVERSITY   (Germany)

^c CHEMNITZ UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Affine term structure; Collateralized debt obligations; Loss process; Single tranche CDO; Term structure of forward spreads

Indexed keywords

EID: 78650111411     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00421.x     Document Type: Article

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