EPPLE, FRIEDEL; MORGAN, SAM; SCHLOEGL, LUTZ - In: International Journal of Theoretical and Applied … 10 (2007) 04, pp. 733-748
The pricing of exotic portfolio products, e.g. path-dependent CDO tranches, relies on the joint probability distribution of portfolio losses at different time horizons. We discuss a range of methods to construct the joint distribution in a way that is consistent with market prices of vanilla CDO...