CUTTING EDGE: Credit derivatives - Calibration of CDO tranches with the dynamical GPL model - Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, the authors show that a simple loss dynamics based on the generalised Poisson process achieves good results. This model allows for general isations, achieving ...

Default correlation, cluster dynamics and single names: The GPCL dynamical loss model

Brigo, Damiano, (2008)

CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES

BRIGO, DAMIANO, (2007)

Credit models and the crisis, or: how I learned to stop worrying and love the CDOs

Brigo, Damiano, (2009)