ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

Jakob Sidenius ()
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Jakob Sidenius: J P MORGAN Securities, 125 London Wall, London EC2Y 5AJ, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 04, 749-761

Abstract: We define forward copula models and introduce the concept of "chaining" such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.

Keywords: CDO pricing; copula model; forward copula; copula chain; CDO term structure; forward base correlations (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024907004366

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