17 citations · 37 across the 22 of their papers we have counts for
Showing 2010 · q-fin.PRShow all
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q-fin.PR2010★ 6 cited
CDO term structure modelling with Levy processes and the relation to market models
Thorsten Schmidt, Jerzy Zabczyk
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to t…
q-fin.PR2010
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
Ernst Eberlein, Zorana Grbac, Thorsten Schmidt
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy proce…