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Acknowledgments

I would like to thank Alexandre Antonov, Igor Halperin, Serguei Issakov, Alex Lipton, Timur Misirpashaev, Frédéric Vrins, and Igor Zaoutine for useful discussions. I am grateful to my colleagues at Numerix and especially to Gregory Whitten for support of this work.

References

Amraoui, S., and S. Hitier. 2008. Optimal stochastic recovery for base correlation. Working paper, available at www.defaultrisk.com.

Andersen, L., and J. Sidenius. 2004. Extensions to the Gaussian copula: Random recovery and random factor loadings. Journal of Credit Risk 1 (1): 29–70.

Andersen, L., and J. Sidenius. 2005. CDO pricing with factor models: Survey and comments. Journal of Credit Risk 1 (3): 71–88.

Antonov, A., S. Mechkov, and T. Misirpashaev. 2007. Analytical techniques for synthetic CDOs and credit default risk measures. Wilmott (November–December): 84–105.


  

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