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Titel:

Modeling the Evolution of Implied CDO Correlations

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hofert, M.; Scherer, M.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Zeitschriftentitel:
Financial Markets and Portfolio Management
Jahr:
2010
Band / Volume:
24
Heft / Issue:
3
Seitenangaben Beitrag:
289-308
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
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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