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HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
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HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH

LIU, WEN-QIONG ; HUANG, WEN-LI

International journal of theoretical and applied finance, 2019-03, Vol.22 (2), p.1850057 [Periódico revisado por pares]

Singapore: World Scientific Publishing Company

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A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
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Artigo
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A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

SIDENIUS, JAKOB ; PITERBARG, VLADIMIR ; ANDERSEN, LEIF

International Journal of Theoretical and Applied Finance (IJTAF), 2008-03, Vol.11 (2), p.163-197 [Periódico revisado por pares]

Singapore: World Scientific Publishing Company

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3
SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
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SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

WALKER, MICHAEL B.

International Journal of Theoretical and Applied Finance (IJTAF), 2009-08, Vol.12 (5), p.633-662 [Periódico revisado por pares]

Singapore: World Scientific Publishing Company

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