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Document type:
Zeitschriftenaufsatz 
Author(s):
Hofert, M.; Scherer, M.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Modeling the Evolution of Implied CDO Correlations 
Abstract:
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss distribution derived thereof is specified through individual default probabilities and the dependence among obligorsÕ default times. Moreover, the loss severity, specified via obligors' recovery rates, is an additio...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Financial Markets and Portfolio Management 
Year:
2010 
Journal volume:
24 
Journal issue:
Pages contribution:
289-308 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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