Leveraged super senior (LSS) trades represent a mechanism for packaging senior credit risk. A significant volume of LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article we discuss the valuation of LSS protection in a model independent...

The growth of the structured credit market gave rise to many complex collateralised debt obligation (CDO) structures and, prior to the beginning of the global financial crisis in 2007, the CDO was seen as a successful financial innovation. However, CDOs have since been blamed for partly causing...

This article shows how a modeling framework for the evolution of credit spreads can be built up starting from a simple representation with only two states - default and no default. The model is generalized by introducing credit classes, with transitions from one class to another driven by a...