This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. In this modelling framework, only the joint distributions of default indicators are determined from the calibration to the index tranches; and the...

We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default time (JDDT) from a default time copula. Systemic and idiosyncratic factors beyond the JDDT only...

This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing method of base correlation mapping. This method assigns a...

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot recovery rate as its higher moments have almost no contribution...

We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured simultaneously. We then propose a simple recovery variance regularization method to control the...

We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and...

A simulation model consisting of wind speed, wind turbine and AA-CAES (advanced adiabatic compressed air energy storage) system is developed in this paper, and thermodynamic analysis on energy conversion and transfer in hybrid system is carried out. The impacts of stable wind speed and unstable...

With the increasing penetration of renewable energy into energy market, it is urgent to solve the problem of fluctuations of renewable energy sources (RES). Energy storage technology is regarded as one method to cope with the unstable nature of RES. One of these technologies is compressed air...

As the penetration of renewable energy sources (RES) into energy market is becoming increasingly evident, it is urgent to deal with the problem of fluctuations of RES. Compressed Air Energy Storage (CAES), as one of energy storage technologies aiming at this problem, has excellent...