Structured credit portfolio analysis, baskets \& CDOs

MaRDI QIDQ5493414zbMATH OpenFDO

Authors Christian Bluhm, L. Overbeck

Publication date 20 October 2006

zbMATH Keywords

collateralized debt obligationscopulacredit riskdefault basketdefault probabilityexpected lossexpected shortfallhedgingMarkov chainMonte Carlo simulationsportfolio

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(13)

• Securitization of motor insurance loss rate risks
• CLO replenishment regarded as linear optimisation problem
• A semiparametric factor model for CDO surfaces dynamics
• Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
• Risk analysis of collateralized debt obligations
• Bernoulli and tail-dependence compatibility
• Credit derivatives and credit risk models. A mathematical introduction.
• ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
• Synthetic CDOs
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• Valuation of complex financial instruments for credit risk transfer
• Valuation of structured financial products by adaptive multiwavelet methods in high dimensions

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