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Calibration and implementation of convertible bond models

Andersen, Leif B. G.; Buffum, Dan - In: The journal of computational finance 7 (2003/2004) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10001908028

A new framework for dynamic credit portfolio loss modelling

Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197

Persistent link: https://www.econbiz.de/10003703072

A New Framework for Dynamic Credit Portfolio Loss Modelling

Sidenius, Jakob - 2009

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...

Persistent link: https://www.econbiz.de/10013153467