Posts tagged ‘CDO’
A Multi-Factor Bottom-Up Model for Pricing Credit Derivatives on October 12th, 2011
Tsui, L. K., 2011: A Multi-Factor Bottom-Up Model for Pricing Credit Derivatives. Journal of Computational Finance, forthcoming.
In this paper we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton (1999). The model is abottom-up version of the multi-factor portfolio credit model [..]
Valuation of Structured Finance Products with Implied Factor Models on May 26th, 2011
Nedeljkovic J., Rosen D. and Saunders D., 2011, Valuation of Structured Finance Products with Implied Factor Models, in Credit Risk Frontiers: Subprime Crisis, Pri.ing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley
The recent credit crisis has highlighted limitations of the industry’s general understanding and risk management practices of structured credit portfolios. Market participants clearly misunderstood and underestimated the risks in many securities, especially with respect to the default correlation, systematic risk and contagion effects. In particular, pricing models [..]
Credit Risk Contributions on May 26th, 2011
Rosen D., and Saunders D., 2011, Credit Risk Contributions, Chapter 22 in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley, 2011
Once the risk of a portfolio is calculated, a natural question to ask is: where does the risk come from and what are the main contributors? We present a survey of the theory and practical uses of risk contributions in credit risk management. Applications presented include the computation of portfolio credit risk and the contributions of systematic and [..]