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- W1543441353 abstract "We develop a completely new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the Variance Gamma model for stock price evolution. Solving a simple equation calibrates each name to its credit spread curve and we show that the overall model can be calibrated to the market base correlation curve of a tranched CDO index. Once this calibration is performed, obtaining consistent arbitrage-free prices for non-standard tranches, products based on different underlying names and even more exotic products such as CDO2 is straightforward and rapid." @default.
- W1543441353 created "2016-06-24" @default.
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- W1543441353 date "2006-01-01" @default.
- W1543441353 modified "2023-09-27" @default.
- W1543441353 title "Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives" @default.
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- W1543441353 doi "https://doi.org/10.2139/ssrn.907384" @default.
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