Add to ORKGA comparative analysis of correlation skew modeling techniques for CDO index tranche
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
This paper extends the one-factor Gaussian copula model, the standard mar-ket model for valuing CDOs...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
Abstract: In this paper we investigate alternative Lévy base correlation models that arise from the...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
This paper extends the one-factor Gaussian copula model, the standard mar-ket model for valuing CDOs...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
Abstract: In this paper we investigate alternative Lévy base correlation models that arise from the...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
This paper extends the one-factor Gaussian copula model, the standard mar-ket model for valuing CDOs...