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All Blog Posts Tagged 'CDO pricing' (1)

CDO Pricing with Copulae (Crucial Methodological Paper)

THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING



CDO Pricing with Copulae



Barbara Choros

Wolfgang Härdle

Ostap Okhrin



ABSTRACT



Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The…

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Added by John A Morrison on April 19, 2009 at 11:30pm — No Comments

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