Credit derivatives The author proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model's spread dynamics can be changed separately from the loss distribution and tranche prices by applying existing top-down methods to the common factor ...
| Year of publication: |
2010
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| Authors: | Li, Yadong |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 6, p. 86-92
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