The model is a non-parametric approach to value complex CDO structures that need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and loss-trigger leverage super senior tranches (LT-LSS).https://ia904704.us.archive.org/2/items/callableInverseSwap/callableInverseSwap.pd
The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market ...
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to cred...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credi...
This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian co...
My proposed presentation to the Forum would be based on the work de-scribed in the article below. I ...
The purpose of the submitted model is to calculate the risk measures for FirstNofM trade (FNM) trade...
The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by...
A general approach for calibrating Monte Carlo models to the market prices of benchmark securities i...
This article describes a new numerical method, based on Stein's method and zero bias transformation,...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
The forward starting CDO (FSCDO) valuation model serves the purpose of pricing a forward starting CD...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market ...
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to cred...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credi...
This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian co...
My proposed presentation to the Forum would be based on the work de-scribed in the article below. I ...
The purpose of the submitted model is to calculate the risk measures for FirstNofM trade (FNM) trade...
The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by...
A general approach for calibrating Monte Carlo models to the market prices of benchmark securities i...
This article describes a new numerical method, based on Stein's method and zero bias transformation,...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
The forward starting CDO (FSCDO) valuation model serves the purpose of pricing a forward starting CD...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market ...
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to cred...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
DOI
Add to ORKG