Bielecki, T.R.; Cousin, A.; Crépey, S.; Herbertsson, … - Nationalekonomiska institutionen, Handelshögskolan - 2012
In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus bottom-up puzzle in achieving efficient joint calibration to single-name CDS and to multi-name CDO tranches data. In [4], we studied a general model, that allows for stochastic...