Forward Equations for Portfolio Credit Derivatives

Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling

Volumn , Issue , 2012, Pages 269-293

  Cont, Rama ^a,b   Savescu, Ioana ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b CNRS   (France)

^c MERRILL LYNCH   (United Kingdom)

Author keywords

Calibration algorithm; Collateralized debt obligations; Default rates; Monte carlo simulation; Portfolio credit derivations

Indexed keywords

EID: 84871034546     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118266915.ch11     Document Type: Chapter

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