On the Term Structure of Loss Distributions: A forward model approach
by Jakob Sidenius of JP Morgan
September 15, 2006
Abstract: We define forward copula models and introduce the concept of "chaining" such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.
Published in: International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, (June 2007), pp. 749-761.
This paper is republished as Ch.8 in...