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On The Term Structure Of Loss Distributions: A Forward Model Approach

In: Credit Correlation Life After Copulas

Author

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  • JAKOB SIDENIUS

    (J P MORGAN Securities, 125 London Wall, London EC2Y 5AJ, United Kingdom)

Abstract

We define forward copula models and introduce the concept of “chaining” such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.

Suggested Citation

  • Jakob Sidenius, 2007. "On The Term Structure Of Loss Distributions: A Forward Model Approach," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 8, pages 157-169, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812709509_0008
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    Cited by:

    1. Yadong Li, 2010. "A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery," Papers 1004.3758, arXiv.org.

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