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Pricing distressed CDOs with stochastic recovery

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  • Stephan Höcht
  • Rudi Zagst

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  • Stephan Höcht & Rudi Zagst, 2010. "Pricing distressed CDOs with stochastic recovery," Review of Derivatives Research, Springer, vol. 13(3), pages 219-244, October.
    • Handle: RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244
    DOI: 10.1007/s11147-009-9049-y
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    References listed on IDEAS

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    1. James B. McDonald, 2008. "Some Generalized Functions for the Size Distribution of Income," Economic Studies in Inequality, Social Exclusion, and Well-Being, in: Duangkamon Chotikapanich (ed.), Modeling Income Distributions and Lorenz Curves, chapter 3, pages 37-55, Springer.
    2. Hofert, Marius, 2008. "Sampling Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5163-5174, August.
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    Cited by:

    1. S. Nadarajah & S. Bakar, 2013. "A new R package for actuarial survival models," Computational Statistics, Springer, vol. 28(5), pages 2139-2160, October.
    2. Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013. "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1687-1705.
    3. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
    4. Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
    5. German Bernhart & Marcos Escobar Anel & Jan-Frederik Mai & Matthias Scherer, 2013. "Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(2), pages 179-203, February.

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