@misc{Gątarek_Dariusz_The_2015,
 author={Gątarek, Dariusz and Petrov, Vesselin and Stavrou, Athanasios},
 copyright={Creative Commons Attribution BY 4.0 license},
 journal={Raport Badawczy = Research Report},
 address={Warszawa},
 howpublished={online},
 year={2015},
 publisher={Instytut Badań Systemowych. Polska Akademia Nauk},
 publisher={Systems Research Institute. Polish Academy of Sciences},
 language={eng},
 abstract={In this paper, we present a new arbitrage-free bottom-up model of correlated defaults, based on a special approach to systematic and idiosyncratic risks for individual obligors. The model admits several attractive features, like consistency with currency and interest rate models, as well as numerical tractability and flexibility, making it capable to fit the market for practically all self-consistent CDO tranche prices. Its background is rather remote from other approaches, like copulas and point processes, so our presentation is detailed.},
 type={Text},
 title={The market model of CDO spreads},
 URL={http://rcin.org.pl/Content/217482/PDF/RB-2015-58.pdf},
}