Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

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Subfields: Finance

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Time-Changed Birth Processes and Multi-Name Credit Derivatives (2008, background): “Mixed negative binomial distributions also arise in some of the models in studied by Brigo et al. (2006). They consider linear combinations of gamma-mixed Poisson processes, each of which has a negative binomial marginal distribution.”
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss (2008, methodology): “we take the time derivative of both sides and use the Markov chain equation (6) to obtain”
Affine Point Processes and Portfolio Credit Risk (2010, unknown): “Brigo, Pallavicini, and Torresetti [9] model events by a mixed Poisson process and its extensions.”
Pricing Credit from the Top Down with Affine Point Processes (2008, background): “Brigo et al. (2006) model doubly stochastic event arrivals by a mixed compound Poisson process and its generalizations. Semi-analytic pricing is a common feature of these intensity based models so simulation is not required. Further, random thinning can be used to estimate hedge ratios in these mode”
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives (2008, background): “(6)Multiple instantaneous defaults have been explored in [5].”