Add to ORKGThis paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base correlation framework for pricing CDOs. Several recent models are extended to more general framework. It is shown that, conditional on the Gaussian systematic factor, negative forward recovery rate may appear in these models. This suggests that current static copula models of correlated default and recovery processes are inherently inconsistent
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particula...
AbstractWe consider the valuation of CDO tranches with single factor MG-NIG copula model, where the ...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
This paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base ...
Heightened systematic risk in the credit crisis has created challenges to CDO pricing and risk manag...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with...
Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possib...
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with...
Abstract Up to the 2007 crisis, research within bottom-up CDO models mainly concentrated on the depe...
Gaussian copula model for pricing CDOs. The proposed models are very tractable and perform signif-ic...
Default correlation modelling is becoming the most popular problem in the field of credit derivative...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
The market evolution since the end of 2007 has been characterized by an increase of systemic risk an...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particula...
AbstractWe consider the valuation of CDO tranches with single factor MG-NIG copula model, where the ...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
This paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base ...
Heightened systematic risk in the credit crisis has created challenges to CDO pricing and risk manag...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with...
Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possib...
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with...
Abstract Up to the 2007 crisis, research within bottom-up CDO models mainly concentrated on the depe...
Gaussian copula model for pricing CDOs. The proposed models are very tractable and perform signif-ic...
Default correlation modelling is becoming the most popular problem in the field of credit derivative...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
The market evolution since the end of 2007 has been characterized by an increase of systemic risk an...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particula...
AbstractWe consider the valuation of CDO tranches with single factor MG-NIG copula model, where the ...