Publication date
November 2022
DOIAbstract
The model serves the purpose of finding an appropriate correlation to value a collateral debt obligation (CDO) tranche from market information via base correlations.https://finpricing.com/lib/FxAccumulator.htm
The model serves the purpose of finding an appropriate correlation to value a collateral debt obligation (CDO) tranche from market information via base correlations.https://finpricing.com/lib/FxAccumulator.htm
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
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...
DoctoralWe study some correlation models to analyze the risk of Collateralized Debt Obligations (CDO...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
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...
Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidl...
In this paper, we consider a one-factor copula approach to value collateralized debt obligations (CD...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
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...
DoctoralWe study some correlation models to analyze the risk of Collateralized Debt Obligations (CDO...
In this paper we investigate one factor models that extend the classical Gaussian copula model for p...
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...
Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidl...
In this paper, we consider a one-factor copula approach to value collateralized debt obligations (CD...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
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