Calibrazione di tranche CDO con il modello dinamico GPL
La calibrazione di un indice di credito e delle sue tranche consistentemente sulle varie scadenze con un singolo modello in assenza di opportunità di arbitraggio è un problema difficile. In questo articolo, Damiano Brigo, Andrea Pallavicini e Roberto Torresetti dimostrano che si ottengono buoni risultati con una semplice dinamica della perdita fondata sul processo di Poisson generalizzato. {E'} possibile generalizzare questo modello, ottenendo una dinamica stocastica del premio di protezione
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