Resources

In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.

In this article, we present an accurate analytical approximation for a joint distribution function of loss of two overlapping credit portfolios using the multidimensional saddlepoint method.

In this article, we present pricing and risk management of synthetic CDOs and risk management of credit portfolios are closely related problems as both require modeling of the same distribution of portfolio loss.

In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a cross-currency term structure modelling.