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

DOI10.1007/978-3-7908-2050-8_12zbMATH Open1154.91517OpenAlexW139911216MaRDI QIDQ3606103FDOQ3606103

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

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

Mathematics Subject Classification ID

Cites Work

• Stable Paretian models in finance
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• A GARCH option pricing model with \(\alpha\)-stable innovations
• Title not available (Why is that?)
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

Cited In (16)

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

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