Pricing CDOs with state-dependent stochastic recovery rates

Quantitative Finance

Volumn 12, Issue 8, 2012, Pages 1219-1240

  Amraoui, Salah ^a   Cousot, Laurent ^a   Hitier, Sebastien ^a   Laurent, Jean Paul ^b  

^a BNP Paribas ^*  (United Kingdom)

^b Université Paris 1 Panthéon Sorbonne PRISM and Labex Refi ^*  (France)

Author keywords

Applications to credit risk; Copulas; Correlation structures; Credit derivatives; Credit models; Insurance mathematics

Indexed keywords

EID: 84864651718     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.663925     Document Type: Article

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