Doubly Stochastic CDO Term Structures

Progress in Probability

Volumn 63, Issue , 2011, Pages 413-428

  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: 84870569021     PISSN: 10506977     EISSN: 22970428     Source Type: Book Series    
DOI: 10.1007/978-3-0348-0021-1_23     Document Type: Chapter

References (20)

1. N. Bennani, The forward loss model: A dynamic term structure approach for the pricing of portfolio credit derivatives, Working Paper, 2005.
2. P. Brémaud, Point Processes and Queues, Martingale Dynamics, Springer, New York, 1981.
3. P. Brémaud and M. Yor, Changes of filtration and of probability measures, Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete, 45 (1978), 269–295.
4. L. Chen and D. Filipović, Credit derivatives in an affine framework, Asia-Pacific Financial Markets, 14 (2007), 123–140.
5. P. Cheridito, D. Filipović, and M. Yor, Equivalent and absolutely continuous measure changes for jump-diffusion processes, The Annals of Applied Probability, 15 (2005), 1713–1732.
6. R. Cont and A. Minca, Recovering portfolio default intensities implied by CDO quotes, Financial Engineering Report No. 2008-01, Columbia University Center for Financial Engineering, 2008.
7. R. Cont and I. Savescu, Forward equations for portfolio credit derivatives, In: R. Cont, editor, Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling, Wiley Finance Series, chapter 11, pages 269–293. John Wiley& Sons, Inc., Hoboken, New Jersey, 2009.
8. D. Duffie, D. Filipović, and W. Schachermayer, Affine processes and applications in finance, The Annals of Applied Probability, 13 (2003), 984–1053.
9. P. Ehlers and P. Schönbucher, Pricing interest rate-sensitive credit portfolio derivatives, Working Paper, ETH Zurich, 2006.
10. P. Ehlers and P. Schönbucher, Background filtrations and canonical loss processes for top-down models of portfolio credit risk, Finance and Stochastics, 13 (2009), 79–103.
11. S.N. Ethier and T.G. Kurtz, Markov Processes. Characterization and Convergence, John Wiley & Sons, 1986.
12. D. Filipović, Term-Structure Models: A Graduate Course, Springer Finance, Springer-Verlag, 2009.
13. J. Jacod and P. Protter, Quelques remarques sur un nouveau type d’équations différentielles stochastiques, Seminar on Probability, XVI, Lecture Notes in Math., 920 (1982), 447–458, Springer, Berlin.
14. J. Jacod and A.N. Shiryaev, Limit Theorems for Stochastic Processes, Springer, 1987.
15. D. Heath, R.A. Jarrow, and A.J. Morton, Bond pricing and the term structure of interest rates, Econometrica, 60 (1992), 77–105.
16. J.P. Laurent and J. Gregory, Basket default swaps, CDOs and factor copulas, Journal of Risk, 7 (2005), 103–122.
17. A. McNeil, R. Frey, and P. Embrechts, Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005.
18. P. Schönbucher, Portfolio losses and the term structure of loss transition rates: A new methodology for the pricing of portfolio credit derivatives, Working Paper, ETH Zürich, 2005.
19. J. Sidenius, V. Piterbarg, and L. Andersen, A new framework for dynamic credit portfolio loss modelling, International Journal of Theoretical and Applied Finance, 11 (2008), 163–197.
20. K. Singleton and L. Umantsev, Pricing coupon-bond options and swaptions in affine term structure models, Mathematical Finance, 12 (2002), 427–446.