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CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Bernstein processes Euclidean Quantum Mechanics Interest Rate Models
2010/11/3
We give an exposition, following joint works with J.-C. Zambrini, of the link between Euclidean Quantum Mechanics, Bernstein processes and isovectors for the heat equation. A new application to Mathem...
Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
Single Name Dynamics Credit Top Down Models
2010/10/29
In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities
appears possible, at least in principle, within the so-called random thinning (RT)
procedure which dis...