Recovering portfolio default intensities implied by CDO quotes
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
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More about this item
Keywordsintensity control; stochastic control; point process; inverse problem; nonparametric methods; credit risk; CDO; contagion;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
- NEP-BAN-2013-03-23 (Banking)
- NEP-RMG-2013-03-23 (Risk Management)
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