Modeling the evolution of implied CDO correlations
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References listed on IDEAS
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Bernd Brommundt & Jochen Felsenheimer & Philip Gisdakis & Michael Zaiser, 2006. "Recent Developments in Credit Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(2), pages 221-234, June.
- Rösch, Daniel, 2003. "Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany," University of Regensburg Working Papers in Business, Economics and Management Information Systems 380, University of Regensburg, Department of Economics.
More about this item
KeywordsCDO; Implied correlation; Gaussian copula model; C 13; C 52; G 01; G 13;
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