Risk-neutral versus objective loss distribution and CDO tranche valuation

Damiano Brigo, R Torresetti, A Pallavicini

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	175 - 192
Number of pages	18
Journal	Journal of Risk Management in Financial Institutions
Volume	2
Publication status	Published - 2009

Cite this

@article{95d07756f1ef4a4dad4b7f4856dff4cd,

title = "Risk-neutral versus objective loss distribution and CDO tranche valuation",

author = "Damiano Brigo and R Torresetti and A Pallavicini",

year = "2009",

language = "English",

volume = "2",

pages = "175 -- 192",

journal = "Journal of Risk Management in Financial Institutions ",

publisher = "Henry Stewart Publications",

}