Recovering portfolio default intensities implied by CDO quotes
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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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