To our best knowledge to date, there is no generally accepted methodology of applying base correlation to a non-index CDO trade. The proposed approach serves the purpose of finding an appropriate correlation to value a collateral debt obligation (CDO) tranche from market information via base correlations. The methodology involves four steps.https://finpricing.com/lib/EqCallable.htm
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework....
Abstract: In this paper we investigate alternative Lévy base correlation models that arise from the...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
authors ’ own and do not necessarily represent those of Moody’s Investors Service. All errors remain...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework....
Abstract: In this paper we investigate alternative Lévy base correlation models that arise from the...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e ...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
authors ’ own and do not necessarily represent those of Moody’s Investors Service. All errors remain...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework....
Abstract: In this paper we investigate alternative Lévy base correlation models that arise from the...
This paper discusses various ways to add correlated stochastic recovery to the base correlation fram...