CHAPOVSKY, ALEXANDER; RENNIE, ANDREW; TAVARES, PEDRO - In: International Journal of Theoretical and Applied … 10 (2007) 04, pp. 633-652
We propose a class of credit models where we model default intensity as a jump-diffusion stochastic process. We demonstrate how this class of models can be specialised to value multi-asset derivatives such as CDO and CDO2 in an efficient way. We also suggest how it can be adapted to the pricing...