Work

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Year: 2006

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.900549

Authors: Damiano Brigo, Andrea Pallavicini, Roberto Torresetti

Institutions: Imperial College London, Intesa Sanpaolo (Italy), University of Milan

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1540689970

Cites: 11

Cited by: 107

Related to: 10