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A dynamic approach to the modeling of correlation credit derivatives using Markov chains

Di Graziano, Giuseppe; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10003847557

Markov chains and the potential approach to modelling interest rates and exchange rates

Rogers, Leonard C. G.; Yousaf, F. A. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 375-406). 2002

Persistent link: https://www.econbiz.de/10001679461

The potential approach in practice

Kluge, Tino; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011889513

A Dynamic Approach to the Modeling of Correlation Credit Derivatives Using Markov Chains

Rogers, L. C. G. - 2010

The modeling of credit events is in effect the modeling of the times to default of various names. The distribution of individual times to default can be calibrated from CDS quotes, but for more complicated instruments, such as CDOs, the joint law is needed. Industry practice is to model this...

Persistent link: https://www.econbiz.de/10013150072

A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS

GRAZIANO, GIUSEPPE DI; ROGERS, L. C. G. - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 45-62

Persistent link: https://www.econbiz.de/10004970130