Add to ORKGThe correct modeling of default dependence is essential for the valuation of multiname credit derivatives. However for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations, default intensities and recovery rates for all assets in the reference portfolio has become the standard market model. If this model were a reflection of market opinion there wouldn't be the implied correlation smile that is observed in the market. The purpose of this paper is to explain the structure of the smile by discussing the influence of different correlation matrices on CDO spreads. --default risk,CDOs,implied correlation smile,correlation matrx,heterogeneity
The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57...
peer-reviewedOne of the most controversial and innovative finnancial products in recent years has be...
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The rec...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perc...
In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that thi...
In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that thi...
Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio iss...
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default ...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
The jump distribution for the default intensities in a reduced form framework is modeled and calibra...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
The specification of a realistic dependence structure is key to the pricing of multi-name credit der...
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial p...
The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57...
peer-reviewedOne of the most controversial and innovative finnancial products in recent years has be...
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The rec...
The correct modeling of default dependence is essential for the valuation of multi-name credit deriv...
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perc...
In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that thi...
In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that thi...
Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio iss...
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default ...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
The jump distribution for the default intensities in a reduced form framework is modeled and calibra...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
Even if the correct modeling of default dependence is essential for the valua-tion of portfolio cred...
The specification of a realistic dependence structure is key to the pricing of multi-name credit der...
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial p...
The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57...
peer-reviewedOne of the most controversial and innovative finnancial products in recent years has be...
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The rec...