DYNAMIC CREDIT CORRELATION MODELING C. ALBANESE, O. CHEN, A. DALESSANDRO, AND A. VIDLER Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidly, we witness a lively debate ab - Tranche - Document - PDFSEARCH.IO

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	DYNAMIC CREDIT CORRELATION MODELING C. ALBANESE, O. CHEN, A. DALESSANDRO, AND A. VIDLER Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidly, we witness a lively debate ab Add to Reading List Document Date: 2014-03-17 15:14:17 Open Document File Size: 568,76 KB Share Result on Facebook Company Dow Jones / Moody / Bernstein / / Country Jordan / / Facility Imperial College / / IndustryTerm numerical diagonalization algorithm / closed form solutions / / MarketIndex CDX / / Organization Imperial College London / / Person William Dellal / Pedro Tavares / Gregory / Stathis Tompaidis / Manlio Trovato / Alicia Vidler / Helyette Geman / Mark Davis / Manfred Gilli / Peter Carr / Andrew Rennie / Antonio Dalessandro / Darius Gatarek / Laurent / / Technology professional numerical diagonalization algorithm / simulation / / SocialTag Mathematical finance United States housing bubble Markov chain Collateralized debt obligation Lambda calculus Risk-neutral measure Financial Correlations Financial economics Finance Investment

DYNAMIC CREDIT CORRELATION MODELING C. ALBANESE, O. CHEN, A. DALESSANDRO, AND A. VIDLER Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidly, we witness a lively debate abAdd to Reading List