Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied Mathematical Finance 21 (2014) 1, pp. 51-83
We present a new portfolio default model based on a conditionally independent and identically distributed (CIID) structure of the default times. It combines an intensity-based ansatz in the spirit of Duffie and Gârleanu (2001). Risk and valuation of collateralized debt obligations. <italic>Financial...</italic>
