2 search results - page 1 / 1 » Portfolio Credit Risk Analysis Involving CDO Tranches |
WSC
2004
13 years 9 months ago
2004
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
SIAMFM
2011
12 years 10 months ago
2011
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...