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Pricing distressed CDOs with stochastic recovery

Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244

Persistent link: https://www.econbiz.de/10008695890

The valuation of correlation-dependent credit derivatives using a structural model

Hull, John; Predescu, Mirela; White, Alan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 99-132

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A capability study of portfolio insurance strategies for ABS funds and CDS total return indices during the subprime crisis

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Can CDO equity be short on correlation?

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Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?...