Dynamic Conditioning and Credit Correlation Baskets
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- Claudio Albanese & Adel Osseiran, 2007. "Moment Methods for Exotic Volatility Derivatives," Papers 0710.2991, arXiv.org.
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- Gunter Meissner & Seth Rooder & Kristofor Fan, 2013. "The impact of different correlation approaches on valuing credit default swaps with counterparty risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1903-1913, December.
More about this item
KeywordsCDO; pricing; dynamic conditioning; correlation modeling; semi-parametric; operator methods;
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-29 (All new papers)
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