Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research

DOI10.1007/978-3-7908-2050-8_12MaRDI QIDQ3606103zbMATH OpenOpenAlexFDO

Authors Dezhong Wang, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date 26 February 2009

Published in Contributions to Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2050-8_12

Mathematics Subject Classification ID

Recommendations

• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• The market model of CDO spreads
• Synthetic CDOs
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• A Copula-Based Model of the Term Structure of CDO Tranches

Cites work

• scientific article; zbMATH DE number 3644384 (Why is no real title available?)
• A GARCH option pricing model with \(\alpha\)-stable innovations
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Stable Paretian models in finance

Cited in

(17)

• Synthetic CDOs
• Valuation and VaR Computation for CDOs Using Stein’s Method
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• The market model of CDO spreads
• Combining forecasts in the presence of ambiguity over correlation structures
• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
• The pricing of single-name CDS based on product market and capital market in a general equilibrium model
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• Pricing CDS index tranches under thinning-dependence structure with regime switching
• Default intensities implied by CDO spreads: inversion formula and model calibration
• Collateral constraints, tranching, and price bases
• A structural jump-diffusion model for pricing collateralized debt obligations tranches
• Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
• A Copula-Based Model of the Term Structure of CDO Tranches
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model

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