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Fit the Base Correlation : Static Model
  • An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches , J.Hull, A.White (2008)
  • A Comparative analysis of CDO pricing models , X. Burtschell, J. Gregory, J.-P. Laurent (2008)
  • The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing , A.Kalemanova, B.Schmid, R.Werner (2007)
  • Levy Base Correlation , J.Garcia, S.Goossens, V.Masob, W.Schoutens (2007)
  • Pricing CDOs with Correlated Variance Gamma Distributions , T.Mossbrucker (2006)
  • Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives , M.Joshi, A.M.Stacey (2006)
  • CDO Pricing with Factor Models: Survey and Comments , L.Andersen, J.Sidenius (2005)
  • Synthetic CDO pricing using the double normal inverse Gaussian copula with stochastic factor loadings , A.Luescher (2005)
  • Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings , L.Andersen, J.Sidenius (2004)





















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