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CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation

Giovannitti, Stefano - 2016

-Olkin credit correlation model. These formulas can be easily evaluated in terms of machine computational time, therefore they are … particularly suitable for the correlation model calibration. To compute the first pricing formula, we assume that the recovery rate …

Persistent link: https://www.econbiz.de/10013001808

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

Persistent link: https://www.econbiz.de/10009763975

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

Persistent link: https://www.econbiz.de/10012203783

Basket option pricing and implied correlation in a Lévy copula model

Linders, Daniël; Schoutens, Wim - 2014

Persistent link: https://www.econbiz.de/10010422208

Correlated Collateral

Nadauld, Taylor - 2012

economic catastrophe on a structured finance instrument also depends critically on the degree of correlation in the underlying … collateral (our proxy for correlation) experienced substantially higher deal-level default rates and more significant credit …

Persistent link: https://www.econbiz.de/10013116270

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Extreme portfolio loss correlations in credit risk

Mühlbacher, Andreas; Guhr, Thomas - In: Risks : open access journal 6 (2018) 3, pp. 1-25

The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence, it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We...

Persistent link: https://www.econbiz.de/10011890684

CDO Pricing : Copula Implied by Risk Neutral Dynamics

Hitier, Sebastien - 2016

When dealing with multi-issuer credit derivatives such as CDO, it is customary to refer the reader to either of two approaches: “static models” which focus on the copula between the variables of interest, and “dynamic models” where the diffusion of the underlying variables is described...

Persistent link: https://www.econbiz.de/10013000790

Understanding Mortgage Spreads

Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10010404146