The implied correlations for the CDO index tranches are the correlations backed out by the market quoted prices using CDO valuation models available in the credit library, namely, the Poisson model and the Normal Copula model.https://ia601508.us.archive.org/28/items/flexibleGic/flexibleGic.pd
Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio iss...
DoctoralWe study some correlation models to analyze the risk of Collateralized Debt Obligations (CDO...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default ...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
In this thesis an approach to CDO tranche valuation is described. This approach allows to check mark...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perc...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio iss...
DoctoralWe study some correlation models to analyze the risk of Collateralized Debt Obligations (CDO...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default ...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
In this thesis an approach to CDO tranche valuation is described. This approach allows to check mark...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perc...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio iss...
DoctoralWe study some correlation models to analyze the risk of Collateralized Debt Obligations (CDO...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
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