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Pricing Distressed CDOs with Base Correlation and Stochastic Recovery

200849 citationsJournal Articlegreen Open Access

Authors

Martin Krekel · UniCredit (Italy)

Topics & Keywords

Credit Risk and Financial Regulations Stochastic processes and financial applications Banking stability, regulation, efficiency

Publication Details

Published in: SSRN Electronic Journal

DOI: 10.2139/ssrn.1134022

Pricing Distressed CDOs with Base Correlation and Stochastic Recovery | Researchclopedia