the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our … standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently … approach by fitting credit index tranche prices …

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value … increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward … to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit …