We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account consistently for single name default dynamics, cluster default dynamics and default counting process. This approach...

We illustrate the two main types of implied correlation one may obtain from market CDO tranche spreads. Compound correlation is more consistent at single tranche level but for some market CDO tranche spreads cannot be implied. Base correlation is less consistent but more flexible and can be...

We explain how the payoffs of credit indices and tranches are valued in terms of expected tranched losses (ETL). ETL are natural quantities to imply from market data. No-arbitrage constraints on ETL's as attachment points and maturities change are introduced briefy. As an alternative to the...

We consider the risk neutral loss distribution as implied by index CDO tranche quotes through a quot;scenario default ratequot; model as opposed to the objective measure loss distribution based on historical analysis. The risk neutral loss distribution turns out to privilege large realizations...

We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account consistently for single name default dynamics, cluster default dynamics and default counting process. This approach...