13 citations · 48 across the 28 of their papers we have counts for
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q-fin.PR2010
The Impossible Trio in CDO Modeling
Emmanuel Schertzer, Yadong Li, Umer Khan
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk c…
math.PR2010
Stochastic flows in the Brownian web and net
Emmanuel Schertzer, Rongfeng Sun, Jan M. Swart
Certain one-dimensional nearest-neighbor random walks in i.i.d. random space-time environments are known to have diffusive scaling limits. In the continuum limit, the random enviro…