Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
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References listed on IDEAS
- Damiano Brigo & Naoufel El-Bachir, 2007.
"An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model,"
ICMA Centre Discussion Papers in Finance
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Balakrishna, B S, 2010. "Levy Subordinator Model of Default Dependency," MPRA Paper 21386, University Library of Munich, Germany.
- Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
- Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
- Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-FMK-2010-01-16 (Financial Markets)
- NEP-URE-2010-01-16 (Urban & Real Estate Economics)
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