Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009
"virtual" borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-linear optimization. This "bond representation" allows to approximate the risk profile (expressed by the EL profile) using a single … for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio …