Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e spread a RE-CDO is calculated and taken as the proxy of a target CDO2 or CDO3 trade. Then the MTM of the CDO2 or CDO3 trade can be calculated using the market observed correlations by finding the MTM of the proxy via index base correlations.https://ia601402.us.archive.org/23/items/correlation-calibration/CorrelationCalibration.pd
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
This paper intends to provide insights about the topical issue of risk managing synthetic CDOs. We s...
This article describes a new numerical method, based on Stein's method and zero bias transformation,...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The purpose of the submitted model is to calculate the risk measures for FirstNofM trade (FNM) trade...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework....
The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
This paper intends to provide insights about the topical issue of risk managing synthetic CDOs. We s...
This article describes a new numerical method, based on Stein's method and zero bias transformation,...
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade fr...
The purpose of the submitted model is to calculate the risk measures for FirstNofM trade (FNM) trade...
International audienceWe propose two different methodologies for the pricing of CDO squared and by e...
To our best knowledge to date, there is no generally accepted methodology of applying base correlati...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
A comparative analysis of correlation skew modeling techniques for CDO index tranche
The implied correlations for the CDO index tranches are the correlations backed out by the market qu...
The model serves the purpose of finding an appropriate correlation to value a collateral debt obliga...
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework....
The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and dis...
This paper intends to provide insights about the topical issue of risk managing synthetic CDOs. We s...
This article describes a new numerical method, based on Stein's method and zero bias transformation,...
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