Modeling the evolution of implied CDO correlations

formation and evolution of regional organizations: the case study of the economic cooperation organization (eco)

abstract because of the many geopolitical, geo economical and geo strategically potentials and communicational capabilities of eco region, members can expand the convergence and the integration in base of this organization that have important impact on members development and expanding peace in international and regional level. based on quality analyzing of library findings and experts interv...

Recovering portfolio default intensities implied by CDO quotes

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process ’closest’ to a prior loss process, verifying t...

CDO Pricing: Copula Implied by Risk Neutral Dynamics

When dealing with multi-issuer credit derivatives such as CDO, it is customary to referthe reader to either of two approaches: “static models” which focus on the copula between thevariables of interest, and “dynamic models” where the diffusion of the underlying variablesis described directly. While the former is widely used due to its simplicity, it is not clearthat there is...

Factor Distributions Implied by Quoted Cdo Spreads and Tranche Pricing

The rapid pace of innovation in the market for credit risk has given rise to a liquid market in synthetic collateralised debt obligation (CDO) tranches on standardised portfolios. To the extent that tranche spreads depend on default dependence between different obligors in the reference portfolio, quoted spreads can be seen as aggregating the market views on this dependence. In a manner reminis...

Equity correlations implied by index options