Skip to main content Accessibility help
×
Hostname: page-component-586b7cd67f-t7czq Total loading time: 0 Render date: 2024-11-22T08:54:03.722Z Has data issue: false hasContentIssue false

References

Published online by Cambridge University Press:  06 July 2010

C. C. Mounfield
Affiliation:
Barclays Capital, London
Get access

Summary

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Chapter
Information
Synthetic CDOs
Modelling, Valuation and Risk Management
, pp. 357 - 363
Publisher: Cambridge University Press
Print publication year: 2008

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

H. Albrecher, S. A. Ladoucette and W. Schoutens, A Generic One-factor Levy Model for Pricing Synthetic CDOs, www.defaultrisk.com, May 2006.
Alexander, C., Market Models: A Guide to Financial Data Analysis, Wiley, 2001.Google Scholar
Alexander, C. and Narayanan, S., Option pricing with normal mixture returns, ISMA Centre Discussion Papers In Finance, December 2001.Google Scholar
Allman, K. A., Modeling Structured Finance Cashflows with Microsoft Excel, Wiley, 2007.Google Scholar
L. Andersen, Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence, www.defaultrisk.com, 2006.
Andersen, L. and Sidenius, J., Extensions to the Gaussian copula: random recovery and random factor loadings, Journal of Credit Risk, 1, 29–70, 2004.CrossRefGoogle Scholar
Andersen, L., Sidenius, J. and Basu, S., All your hedges in one basket, Risk, November 2003.Google Scholar
Arvanitis, A., Gregory, J. and Laurent, J.-P., Building models for credit spreads, Journal of Derivatives, Spring, 27–43, 1999.CrossRefGoogle Scholar
Baheti, P., Mashal, R., Naldi, M. and Schloegl, L., Synthetic CDO of CDO's: squaring the delta hedged equity trade, Lehman Brothers Quantitative Credit Research Quarterly, June 2004.Google Scholar
Baheti, P., Mashal, R., Naldi, M. and Schloegl, L., Squaring factor copula models, Risk Magazine, June 2005.Google Scholar
M. Baxter, Dynamic Modelling of Single-name Credits and CDO Tranches, www.defaultrisk.com, March 2006.
Baxter, M., Gamma process dynamic modelling of credit, Risk Magazine, October 2007.Google Scholar
Baxter, M. and Rennie, A., Financial Calculus, Cambridge University Press, 1996.CrossRefGoogle Scholar
N. Bennani, The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives, www.defaultrisk.com, November 2005.
N. Bennani, A Note on Markov Functional Loss Models, www.defaultrisk.com, November 2006.
Bielecki, T. and Rutkowski, M., Credit Risk: Modeling, Valuation and Hedging, Springer, 2002.Google Scholar
T. Bielecki, M. Jeanblanc and M. Rutkowski, Hedging of Basket Credit Derivatives in Credit Default Swap Markets, www.defaultrisk.com, 2006a.
T. Bielecki, M. Jeanblanc and M. Rutkowski, Hedging of Credit Derivatives in Models with Totally Unexpected Default, www.defaultrisk.com, 2006b.
Black, F. and Cox, J., Valuing corporate securities – some effects of bond indenture provisions, Journal of Finance, 31, 351–367, 1976.CrossRefGoogle Scholar
C. Bluhm, CDO Modeling: Techniques, Examples and Applications, www.defaultrisk.com, December 2003.
Bluhm, C. and Overbeck, L., Structured Credit Portfolio Analysis, Baskets and CDO's, Chapman & Hall/CRC, 2007.Google Scholar
Bookstaber, R., A Demon of Our Own Design, Wiley, 2007.Google Scholar
Bouchaud, J.-P. and Potters, M., Theory of Financial Risks – From Statistical Physics to Risk Management, Cambridge University Press, 2000.Google Scholar
D. Brigo and E. Errais, A Correlation Bridge Between Structural Models and Reduced Form Models for Multiname Credit Derivatives, www.defaultrisk.com, 2005.
Brigo, D. and Mercurio, F., Interest Rate Models – Theory and Practice, Springer, 2001.CrossRefGoogle Scholar
D. Brigo, A. Pallavicini and R. Torresetti, Calibration of CDO Tranches with the Dynamical Generalised Poisson Loss Model, www.damianobrigo.it, May 2007.
Burden, R. L. and Faires, J. D., Numerical Analysis, 4th edition, PWS–Kent, 1989.Google Scholar
X. Burtschell, J. Gregory and J.-P. Laurent, A Comparative Analysis of CDO Pricing Models, www.defaultrisk.com, April 2005.
X. Burtschell, J. Gregory and J.-P. Laurent, Beyond Gaussian Copula – Stochastic and Local Correlation, www.defaultrisk.com, January 2007.
Chacko, G., Sjoman, A., Motohashi, H. and Dessain, V., Credit Derivatives – A Primer on Credit Risk, Modeling and Instruments, Wharton School Publishing, 2006.Google Scholar
Chaplin, G., Credit Derivatives – Risk Management, Trading and Investing, Wiley Finance, 2005.Google Scholar
Z. Chen and P. Glasserman, Fast Pricing of Basket Default Swaps, www.defaultrisk.com, 2006.
Cherubini, U. and Lunga, G. Della, Structured Finance – The Object Oriented Approach, Wiley Finance, 2007.Google Scholar
Cherubini, U., Luciano, E. and Vecchiato, W., Copula Methods in Finance, Wiley, 2004.CrossRefGoogle Scholar
Claudio, F., A comparative analysis of correlation skew modelling techniques for CDO index tranches, MSc Thesis, Kings College London, 2006.Google Scholar
Cox, J., Ingersoll, J. and Ross, J., A theory of the term structure of interest rates, Econometrica, 53, 385–407, 1985.CrossRefGoogle Scholar
CreditMetrics, Technical Document, 1997.
K. Crider, Recent events in the credit correlation market and their impact on hedging, May 2005.
Dalton, S., Excel add-in Development in C/C++ – Applications in Finance, Wiley Finance, 2005.Google Scholar
Das, S., Credit Derivatives CDO's & Structured Credit Products, 3rd edition, Wiley Finance, 2005.Google Scholar
Das, S. and Tufano, P., Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic, Journal of Financial Engineering, 5, 161–198, 1996.Google Scholar
S. R. Das, D. Duffie, N. Kapadia and L. Saito, Common Failings: How Corporate Defaults Are Correlated, www.defaultrisk.com.
Davies, W., Batchvarov, A. and Davletova, A., An introduction to credit default swaps on ABS, Merrill Lynch Fixed Income Strategy, April 2005.Google Scholar
Davis, M. and Lo, V., Infectious defaults, Quantitative Finance, 1, 382–387, 2001.CrossRefGoogle Scholar
A. Debuysscher and M. Szego, The Fourier Transform Method – Technical Document, Moodys Investors Services, www.moodys.com, January 2003.
Servigny, A. and Jobst, N., The Handbook of Structured Finance, McGraw-Hill, 2007.Google Scholar
Servigny, A. and Renault, O., Default correlation: empirical evidence, Working Paper, Standard and Poors, 2002.Google Scholar
d-fine, Valuation of Nth to Default Swaps, www.d-fine.co.uk, September 2004.
Douglas, R. (Editor), Credit Derivative Strategies – New Thinking On Managing Risk and Return, Bloomberg Press, 2007.Google Scholar
Duffie, D. and Singleton, K., Modelling term structures of defaultable bonds, Review of Financial Studies, 12, 687–720, 1999.CrossRefGoogle Scholar
E. Eberlein, R. Frey and E. August von Hammerstein, Advanced Credit Portfolio Modelling and CDO Pricing, www.defaultrisk.com, September 2007.
Embrecht, P., McNeil, A. and Strautmann, D., Correlation and dependency in risk management: properties and pitfalls, Working Paper, University of Zurich, 1999.Google Scholar
Etheridge, A., A Course in Financial Calculus, Cambridge University Press, 2002.CrossRefGoogle Scholar
Fitch, www.fitchratings.com.
Flanagan, C., Asato, R., Reardon, E., Muth, C., Schultz, G., Sze, A., Voorhis, T., Ahluwalia, R. and Ko., T., Single name CDS of ABS, JP Morgan Global Structured Finance Research, March 2005.Google Scholar
Flanagan, C., Reardon, E. J., Sbityakov, A. and Beinstein, E., Introducing ABX tranches, JP Morgan Global Structured Finance Research, 2007.Google Scholar
R. Frey and J. Backhaus, Dynamic Hedging of Synthetic CDO Tranches with Spread and Contagion Risk, www.defaultrisk.com, 2007.
H. Frydman and T. Schuermann, Credit Rating Dynamics and Markov Mixture Models, www.defaultrisk.com, March 2007.
Galiani, S., Copula functions and their application in pricing and risk managing multiname credit derivative products, MSc Thesis, Kings College London, September 2003.Google Scholar
Gamma, E., Helm, R., Johnson, R. and Vlissides, J., Design Patterns – Elements of Reusable Object oriented Software, Addison-Wesley, 1995.Google Scholar
J. Garcia and S. Goossens, Base Expected Loss Explains Levy Base Correlation Smile, www.defaultrisk.com, July 2007a.
J. Garcia and S. Goossens, Levy Base Correlation Explained, www.defaultrisk.com, August 2007b.
J. Garcia, S. Goossens and W. Schoutens, Let's Jump Together – Pricing of Credit Derivatives from Index Swaptions to CPPI's, www.defaultrisk.com, May 2007a.
J. Garcia, S. Goossens, V. Masol and W. Schoutens, Levy Base Correlation, www.defaultrisk.com, September 2007b.
M. S. Gibson, Understanding the Risk of Synthetic CDO's, July 2004.
K. Giesecke, Credit Risk Modelling and Valuation: An Introduction, www.defaultrisk.com, June 2004.
K. Giesecke, The Correlation Neutral Measure for Portfolio Credit, www.defaultrisk.com, 2007.
Gilkes, K. and Drexler, M., Drill-Down Approach for Synthetic CDO Squared Transactions, Standard & Poors Structured Finance, www.standardandpoors.com, December 2003.Google Scholar
Glasserman, P., Monte Carlo Methods in Financial Engineering, Springer, 2003.CrossRefGoogle Scholar
P. Glasserman and S. Suchintabandid, Correlation Expansions for CDO Pricing, www.defaultrisk.com, October 2006.
Greenberg, A., O'Kane, D. and Schloegl, L., LH+: A fast analytical model for CDO hedging and risk management, Lehman Brothers Quantitative Credit Research, June 2004.Google Scholar
Gregory, J. (Editor), Credit Derivatives – The Definitive Guide, Wiley, 2003.Google Scholar
Gregory, J. and Laurent, J.-P., I will survive, Risk, 103–107, June 2003.Google Scholar
Gregory, J. and Laurent, J.-P,, In the core of correlation, Risk, 87–91, October 2004.Google Scholar
Grimmett, G. and Stirzaker, D., Probability and Random Processes, 3rd edition, Oxford University Press, 2004.Google Scholar
Goldbart, P. M., Goldenfeld, N. and Sherrington, D., Stealing the Gold: A Celebration of the Pioneering Physics of Sam Edwards, Oxford Science Publications, 2004.CrossRefGoogle Scholar
X. Gou, R. A. Jarrow and C. Menn, A Note on Lando's Formula and Conditional Independence, www.defaultrisk.com, May 2007.
D. Guegan and J. Houdain, CDO Pricing and Factor Models – A New Methodology Using Normal Inverse Gaussian Distributions, www.defaultrisk.com, June 2005.
S. Hager and R. Schobel, A Note on the Correlation Smile, www.defaultrisk.com, December 2006.
Hamilton, J. D., Time Series Analysis, Princeton University Press, 1994.Google Scholar
N. Higham, www.maths.manchester.ac.uk/~higham.
Higham, N., Can you count on your correlation matrix, NAG & Wilmott Finance Seminar, December 2006.Google Scholar
S. Hooda, Explaining Base Correlation Skew Using NG (Normal Gamma) Process, www.defaultrisk.com, June 2006.
Hull, J., Options, Futures and Other Derivatives, 4th edition, Prentice-Hall, 1999.Google Scholar
Hull, J. and White, A., Valuation of a CDO and an nth to default CDS without Monte Carlo simulation, Journal of Derivatives, 12, 8–23, 2004.CrossRefGoogle Scholar
J. Hull and A. White, Valuing Credit Derivatives Using an Implied Copula Approach, www.defaultrisk.com, November 2006a.
J. Hull and A. White, Forwards and European Options on CDO Tranches, www.defaultrisk.com, 2006b.
J. Hull and A. White, Dynamic Models of Portfolio Credit Risk: A Simplified Approach, www.defaultrisk.com, November 2007.
J. Hull, M. Predescu and A. White, The Valuation of Correlation Dependent Credit Derivatives Using a Structural Model, www.defaultrisk.com, March 2005.
S. Inglis and A. Lipton, Factor Models for Credit Correlation, www.defaultrisk.com, June 2007.
I. Iscoe and A. Kreinin, Recursive Valuation of Basket Default Swaps, www.defaultrisk.com.
Jackel, P., Monte Carlo Methods in Finance, Wiley, 2002.Google Scholar
K. Jackson and W. Zhang, Valuation of Forward Starting CDO's, www.defaultrisk.com, 2007.
K. Jackson, A. Kreinin and X. Ma, Loss Distribution Evaluation of Synthetic CDO's, www.defaultrisk.com, 2007.
Jarrow, R. A. and Yu, F., Counterparty risk and the pricing of defaultable securities, Journal of Finance, 53, 2225–2243, 2001.Google Scholar
Jarrow, R. A., Lando, D. and Turnbull, S., A Markov model for the term structure of credit risk spreads, Review of Financial Studies, 10, 481–523, 1997.CrossRefGoogle Scholar
Jarrow, R. A., Li, L., Mesier, M. and Deventer, D. R., CDO Valuation: Fact and Fiction, Kamakura Corporation, 2007.Google Scholar
Joannas, D. and Choudhry, M., A Primer on Synthetic Collateralised Debt Obligations, Yieldcurve.publishing, 2003.Google Scholar
Joshi, M. S., The Concepts and Practice of Mathematical Finance, Cambridge University Press, 2003.Google Scholar
Joshi, M. S., C++ Design Concepts and Derivatives Pricing, Cambridge University Press, 2004a.Google Scholar
M. S. Joshi, Applying Importance Sampling to Pricing Single Tranches of CDO's in a One-factor Li Model, www.quarchome.org, November 2004b.
M. S. Joshi and D. Kainth, Rapid and Accurate Development of Prices and Greeks for Nth-to-Default Credit Swaps in the Li Model, www.quarchome.org, April 2003.
Joshi, M. S. and Stacey, A., IG: a new approach to pricing portfolio credit derivatives, Risk Magazine, 19, July/August 2006.Google Scholar
Kakodkar, A., Martin, B. and Galiani, S., Correlation Trading, Merrill Lynch, Credit Derivatives, November 2003.Google Scholar
Kalemanova, A., Schmid, B. and Werner, R., The normal inverse Gaussian distribution for synthetic CDO Pricing, Working Paper, Risklab, Germany, 2005.Google Scholar
Kijima, M. and Komoribayashi, K., A Markov chain model for valuing credit risk derivatives, Journal of Derivatives, 6, 97–108, 1998.CrossRefGoogle Scholar
Kindleberger, C. P. and Aliber, R. Z., Manias, Panics and Crashes – A History of Financial Crises, 5th edition, Palgrave Macmillan, 2005.CrossRefGoogle Scholar
Koenig, A. and Moo, B. E., Accelerated C++ – Practical Programming by Example, Addison-Wesley, 2005.Google Scholar
Kothari, V., Securitization – The Financial Instrument of the Future, Wiley Finance, 2006.CrossRefGoogle Scholar
A. Kreinin, and Sidelnikova, M., Regularization algorithms for transition matrices, Algo Research Quarterly, 4 (1/2), 25–40, 2001.Google Scholar
Lando, D., On Cox processes and credit risky securities, Review of Derivatives Research, 2, 99–120, 1998.CrossRefGoogle Scholar
Laurent, J.-P. and Gregory, J., Basket default swaps, CDO's and factor copulas, Working Paper, ISFA Actuarial School University of Lyon, October 2003.Google Scholar
J.-P. Laurent, A. Cousin and J.-D. Fermanian, Hedging Default Risks of CDO's in Markovian Contagian Models, www.defaultrisk.com, 2007.
Li, D., On default correlation: a copula approach, Journal of Fixed Income, 9, 43–54, March 2000.CrossRefGoogle Scholar
D. Li and M. Liang, CDO Squared Using Gaussian Mixture Model with Transformation of Loss Distribution, www.defaultrisk.com, 2005.
Loffler, G. and Posch, P. N., Credit Risk Modeling using Excel and VBA, Wiley Finance, 2007.Google Scholar
F. Longstaff and A. Rajan, An Empirical Analysis of the Pricing of Collateralised Debt Obligations, www.defaultrisk.com, April 2006.
Longstaff, F. A. and Schwartz, E., Valuing credit derivatives, Journal of Fixed Income, 5, 6–12, 1995.CrossRefGoogle Scholar
Lucas, D. J., Goodman, L. S., Fabozzi, F. J. and Manning, R. J., Developments in Collateralized Debt Obligations – New Products and Insights, Wiley, 2007.Google Scholar
MarkIt, www.markit.com.
McGinty, L. and Ahluwalia, R., A model for base correlation calculation, JP Morgan Credit Derivatives Strategy, May 2004b.Google Scholar
McGinty, L., Beinstein, E., Ahluwalia, R. and Watts, M., Credit correlation: a guide, JP Morgan Credit Derivatives Strategy, March 2004a.Google Scholar
Merton, R., On the pricing of corporate debt: the risk structure of interest rates, Journal of Finance, 29, 449–470, 1974.Google Scholar
Mezard, M., Parisi, G. and Virasoro, J. A., Spin Glass Theory and Beyond, World Scientific Publishing, 1987.Google Scholar
Moodys, www.moodys.com.
T. Moosbrucker, Pricing CDO's with Correlated Variance Gamma Processes, www.defaultrisk.com, 2006.
Musiela, M. and Rutkowski, M., Martingale Methods in Financial Modelling, Springer, 1998.Google Scholar
Nelson, R. B., An Introduction to Copulas, Lecture Notes in Statistics 139, Springer, 1999.CrossRefGoogle Scholar
Neugebauer, M., Gambel, R., Zelter, J., Hrvatin, R. and Gerity, M., CDO squared: a closer look at correlation, Fitch Ratings Structured Finance, www.fitchratings.com, February 2004a.Google Scholar
Neugebauer, M., Gambel, R., Hand, C., Gambel, R., Hrvatin, R. and Gerity, M., Analysis of synthetic CDO's of CDO's, Fitch Ratings Structured Finance, www.fitchratings.com, September 2004b.Google Scholar
Neugebauer, M.Hodgson, S., Carter, J., Osako, C., Hrvatin, R., Cunningham, T. and Hardee, R., Understanding and hedging risks in synthetic CDO tranches, Fitch Ratings Structured Finance, August 2006.Google Scholar
Newman, M. E. J. and Barkema, G. T., Monte Carlo Methods in Statistical Physics, Oxford University Press, 1999.Google Scholar
O'Kane, D., Base correlation and a skew model, Global Derivatives and Risk Management, 2005.Google Scholar
O'Kane, D. and Turnbull, S., Valuation of credit default swaps, Lehman Brothers Quantitative Credit Research Quarterly, Q1/Q2, 2003.Google Scholar
Oksendal, B., Stochastic Differential Equations – An Introduction with Applications, 5th edition, Springer, 1998.Google Scholar
Pain, A., Renault, O. and Shelton, D., Base correlation, the term structure dimension, Fixed Income Strategy and Analysis, Citigroup, December 2005.Google Scholar
E. Parcell, Loss Unit Interpolation in the Collateralised Debt Obligation Pricing Model, www.defaultrisk.com, 2006.
E. Parcell and J. Wood, Wiping the Smile off Your Base (Correlation Curve), www.defaultrisk.com, 2007.
Patel, N., Crisis of correlation, Risk Magazine, June 2005.Google Scholar
Pedersen, C. and Sen, S., Valuation of constant maturity default swaps, Lehman Brothers Quantitative Credit Research Quarterly, 30 June 2004.Google Scholar
Penaud, A. and Selfe, J., First-to-default swaps, Wilmott Magazine, January/February 2003.CrossRefGoogle Scholar
A. Petrelli, O. Siu, J. Zhang and V. Kapoor, Optimal Static Hedging of Defaults in CDO's, www.defaultrisk.com, April 2006.
D. Picone, Structuring and Rating Cashflow CDO's with Rating Transition Matrices, www.defaultrisk.com, 2005.
D. Prange and W. Scherer, Correlation Smile Matching with Alpha-Stable Distributions and Fitted Archimedean Copula Models, www.defaultrisk.com, March 2006.
Press, W. H., Teukolsky, S. A., Vetterling, W. T. and Flannery, B. P., Numerical Recipes in C++, 2nd edition, Cambridge University Press, 2002.Google Scholar
Prigent, J.-L., Renault, O. and Scaillet, O., An empirical investigation into credit spread indices, Journal of Risk, 3, 27–55, 2001.CrossRefGoogle Scholar
Prince, J., A general review of CDO valuation models, Global Structured Credit Strategy Paper, Citigroup, February 2006.Google Scholar
Rajan, A., McDermott, G. and Roy, R., The Structured Credit Handbook, Wiley Finance, 2007.Google Scholar
Rebonato, R., Interest-Rate Option Models, 2nd edition, Wiley, 1998.Google Scholar
Rebonato, R., Modern Pricing of Interest-Rate Derivatives – The LIBOR Market Model and Beyond, Princeton University Press, 2002.Google Scholar
R. Rebonato and D. S. Kainth, Tranched Credit Derivatives: Different or Unique? Can Tranched Credit Derivatives Really Be Hedged?, http://www-cfr.jims.cam.ac.uk.
Risken, H., The Fokker–Planck Equation, 2nd edition, Springer, 1996.CrossRefGoogle Scholar
Roman, S., Writing Excel Macros, O'Reilly, 1999.Google Scholar
M. G. Rott and C. P. Fries, Fast and Robust Monte Carlo CDO Sensitivities and Their Efficient Object Oriented Implementation, www.defaultrisk.com, May 2005.
Schonbucher, P., Credit Derivatives Pricing and Models, Wiley, 2003.Google Scholar
Schonbucher, P., Portfolio losses and the term structure of loss transition rates: a new methodology for the pricing of portfolio credit derivatives, Working Paper, ETH Zurich, 2006.Google Scholar
Schultz, G. M., McElravey, J., Whitworth, S., Walsh, E. K. and Heerden, C., Valuation of subprime ABS credit default swaps, Wachovia Structured Products Research, 2007.Google Scholar
Shelton, D., Back to normal, Global Structured Credit Research, Citigroup, 2004.Google Scholar
J. Sidenius, On the Term Structure of Loss Distributions – A Forward Model Approach, www.defaultrisk.com, 2006.
J. Sidenius, V. Piterbarg and L. Andersen, A New Framework for Dynamic Credit Portfolio Loss Modelling, www.defaultrisk.com, November 2005.
S&P, www.standardandpoors.com.
Pierre, M. St, Rousseau, E., Zavattero, J., Eyseren, O., Arova, A., Pugachevsky, D., Fourny, M. and Reyfman, A., Valuing and Hedging Synthetic CDO Tranches Using Base Correlations, Bear Stearns, May 2004.Google Scholar
Tick, E., Structured Finance Modeling with Object Oriented VBA, Wiley Finance, 2007.Google Scholar
R. Torresetti, D. Brigo and A. Pallavicini, Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care, www.ssrn.com, 2006.
R. Torresetti, D. Brigo and A. Pallavicini, Implied Expected Tranched Loss Surface from CDO Data, www.damianobrigo.it, May 2007.
Totouom, D. and Armstrong, M., Dynamic copulas and forward starting credit derivatives, Ecole Nationale Superieure des Mines de Paris, February 2007.Google Scholar
S. Truck and E. Ozturkmen, Adjustment and Application of Transition Matrices in Credit Risk Models, www.defaultrisk.com, September 2003.
Turc, J., Very, P. and Benhamou, D., Pricing CDO's with a smile, SG Credit Research, 2005.Google Scholar
Vasicek, O., Probability of loss on loan portfolios, Working Paper, KMV Corporation, 1987.Google Scholar
Voit, J., The Statistical Mechanics of Financial Markets, 3rd edition, Springer, 2005.Google Scholar
M. Walker, CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure, www.defaultrisk.com, May 2006.
M. B. Walker, Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Dynamic Discrete-time Multi-step Markov Loss Model, www.defaultrisk.com, August 2007.
D. Wang, S. T. Rachev and F. J. Fabozzi, Pricing of a CDO and a CDS Index: Recent Advances and Future Research, www.defaultrisk.com, 2006.
D. Wang, S. T. Rachev and F. J. Fabozzi, Pricing of Credit Default Swap Index Tranches with One-factor Heavy Tailed Copula Models, www.defaultrisk.com, 2007.
S. Willemann, An Evaluation of the Base Correlation Framework for Synthetic CDO's, www.defaultrisk.com, December 2004.
S. Willemann, Fitting the CDO Correlation Skew: A Tractable Structural Jump Model, www.defaultrisk.com, November 2005.
Wilmott, P., Paul Wilmott on Quantitative Finance, Volumes 1 and 2, Wiley, 2000.Google Scholar
G. Xu, Extending Gaussian Copula with Jumps to Match Correlation Smile, www.defaultrisk.com, December 2006.
J. Yang, T. Hurd and X. Zhang, Saddlepoint Approximation Method for Pricing CDO's, www.defaultrisk.com, November 2005.
Yu, F., Correlated defaults in intensity based models, 17 (2), 155–173, 2007.

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

  • References
  • C. C. Mounfield
  • Book: Synthetic CDOs
  • Online publication: 06 July 2010
  • Chapter DOI: https://doi.org/10.1017/CBO9780511755484.018
Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

  • References
  • C. C. Mounfield
  • Book: Synthetic CDOs
  • Online publication: 06 July 2010
  • Chapter DOI: https://doi.org/10.1017/CBO9780511755484.018
Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • References
  • C. C. Mounfield
  • Book: Synthetic CDOs
  • Online publication: 06 July 2010
  • Chapter DOI: https://doi.org/10.1017/CBO9780511755484.018
Available formats
×