Pricing Distressed CDOs with Base Correlation and Stochastic Recovery

By M. Krekel. 2008

57 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/35f100008322134f1e0131016c510bc1d8aeeffb

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In Finance

1. Jean Paul Laurent
2. X. Burtschell
3. Jon Gregory
4. Alan G. White
5. John C. Hull
6. N. Whelan
7. Rüdiger Frey
8. J. Backhaus

Citations in the corpus

• A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009, background): “” The mapping (t, K) → E[min(K, L(t))] is usually known as the “loss surface” (see Krekel and Partenheimer [2006]).”