English, Article edition: ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH JAKOB SIDENIUS

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Bookmark: http://trove.nla.gov.au/version/82841
Physical Description
  • article
Language
  • English

Edition details

Title
  • ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH
Author
  • JAKOB SIDENIUS
Physical Description
  • article
Notes
  • We define forward copula models and introduce the concept of "chaining" such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.
  • CDO pricing, copula model, forward copula, copula chain, CDO term structure, forward base correlations
  • RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:749-761
Language
  • English
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