Simulation methods for risk analysis of collateralized debt obligations
- 13 May 2004
- proceedings article
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- p. 335-342
- https://doi.org/10.1109/wsc.2003.1261441
Abstract
No abstract availableKeywords
This publication has 4 references indexed in Scilit:
- Quantifying Credit Risk I: Default PredictionCFA Magazine, 2003
- Valuing Credit Default Swaps IIThe Journal of Derivatives, 2001
- On Default CorrelationThe Journal of Fixed Income, 2000
- A Comparison of Stochastic Default Rate ModelsSSRN Electronic Journal, 2000