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  • An end to bump and reval
    Adjoint algorithmic differentiation can slash the computational time for valuation by three orders of magnitude. Luca Capriotti and Jacky Lee show how it can be applied to credit

    10 years ago

  • A model of corporate behaviour
    Haejun Jeon and Michi Nishihara propose a credit risk model based on a borrower's option to invest. It helps explain the small gap between high yield and investment grade spreads

    11 years ago

  • Synthetic volumes continue to soar
    Volumes of synthetic CDOs grew substantially from the last quarter of 2006

    18 years ago

3 results found Showing page 1 of 1

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