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

Chapter 8 in Credit Correlation:Life After Copulas, 2007, pp 157-169 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe 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: Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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