On the term structure of loss distributions — a forward model approach

@inproceedings{Sidenius2006OnTT,
  title={On the term structure of loss distributions — a forward model approach},
  author={Jakob Sidenius and J Morgan},
  year={2006}
}
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. First version: February 10, 2006 This version: September 15, 2006 

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