This paper describes a dynamic multivariate jump driven model in a credit setting. We set up a dynamic Levy model, more precisely a Multivariate Variance Gamma (VG) model, for a series of correlated spreads. The parameters of the model come from a two step calibration procedure. First, a joint...

In this paper we look at a multifactor Monte Carlo Gaussian Copula based model to price CDO's of ABS's. The probabilities of default are implied from prices of ABS bonds and several notional amortisation schedules are proposed. A detailed sensitivity analysis is done with respect to recovery...

In an earlier paper we introduced Levy base correlation. In this paper we look at base expected loss at maturity both in the Gaussian copula and Levy based models and link it to base correlation in these frameworks. We report on the existence of smile in both base correlation curves and discuss...

In this paper we look at one factor models for TABX, the tranches of ABX.HE. Both the Gaussian copula and Levy base correlation method are applied to price the tranches. We describe adaptations made to the standard recursive approach for pricing TABX. next we compare the gaussian copula...

In an earlier paper we treated the concept of Base Expected Loss (BEL) (both for the Gaussian Copula and Levy Base Correlation models) as an arbitrage free approach to interpolate the base correlation curves for pricing non-standard tranches of the standardized credit indices. In this paper we...

In this paper we show how variations on the correlation among the underlying collateral of an asset backed security (ABS) impacts the correlation among the tranches in a portfolio of ABS's. Additionally we also show evidence of the dependency on the time frame. This paper should be read in...

In this paper we give a resume of the correlation concept that underlies the models for credit risk measurement, for the rating of structured products, for the pricing of (tranches of) structured products, and for Basel II capital charges. We discuss how securitization has changed the risk...

Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need...