Valuation of Portfolio Loss Derivatives in An Infectious Model

Areski Cousin (), Diana Dorobantu () and Didier Rulliere
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Areski Cousin: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Diana Dorobantu: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Keywords: credit risk; contagion model; dependent defaults; default distribution; exchangeability; CDO tranches (search for similar items in EconPapers)
Date: 2011-10-06
Note: View the original document on HAL open archive server: https://hal.science/hal-00665027v1
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Published in Perna, Cira; Sibillo, Marilena. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp.139-147, 2011, ⟨10.1007/978-88-470-2342-0_17⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00665027

DOI: 10.1007/978-88-470-2342-0_17

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