Add to ORKGGaussian copula model for pricing CDOs. The proposed models are very tractable and perform signif-icantly better than the classical Gaussian copula model. Moreover, we introduce the concept of Lévy base correlation. The obtained Lévy base correlation curve is much flatter than the corresponding Gaussian one. This indicates that the models do fit the observed data much bet-ter. Additionally, flat base correlation curves are also much more reliable for pricing of bespoke tranches
In this paper, we consider a one-factor copula approach to value collateralized debt obligations (CD...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
Pricing complex financial derivatives such as collateralized debt obligations (CDOs) is considered a...
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...
This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs,...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
This paper extends the one-factor Gaussian copula model, the standard mar-ket model for valuing CDOs...
Abstract. This paper shows that the one-factor Gaussian copula model, the standard market model for ...
Pricing CDO has been a very challenging task to both researchers and practitioners. One of the major...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian co...
In this paper we investigate alternative Levy base correlation models that arise from the Gamma, Inv...
This paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base ...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
In this paper, we consider a one-factor copula approach to value collateralized debt obligations (CD...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
Pricing complex financial derivatives such as collateralized debt obligations (CDOs) is considered a...
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...
This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs,...
In this paper we investigate alternative Lévy base correlation models that arise from the Gamma, Inv...
This paper extends the one-factor Gaussian copula model, the standard mar-ket model for valuing CDOs...
Abstract. This paper shows that the one-factor Gaussian copula model, the standard market model for ...
Pricing CDO has been a very challenging task to both researchers and practitioners. One of the major...
As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a genera...
This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian co...
In this paper we investigate alternative Levy base correlation models that arise from the Gamma, Inv...
This paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base ...
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as...
In this paper, we consider a one-factor copula approach to value collateralized debt obligations (CD...
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”....
Pricing complex financial derivatives such as collateralized debt obligations (CDOs) is considered a...