The paper proposes a new methodology for bootstrapping a single-tranche CDO and estimating the term structure of expected loss. If for a CDS swap there is a clear established standard in the face of the ISDA CDS Standard Model that relies on a survival curve based on default intensity, for a CDO...

This paper is intended as a pedagogical note to explain CDO and structured financial credit products modeling and some approaches to their pricing. The authors thank the NYU-Polytechnic Institute for the research support through the department of Finance and Risk Engineering and the Topfer Chair

In this article we address risk characteristics and rating of Collateralized Commodity Obligations (CCO), which are recently devised structured products similar to the Collateralized Debt Obligation (CDO). Commodities as an asset class have been in the spotlight of investors' attention for the...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e. when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization?".In...

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...