We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

The classical way of treating the correlation smile phenomenon with credit index tranches is
to choose a sufficiently flexible model and fit it to tranche market prices. In this article we go a …

By examining the impact of an increase in correlation among underlying assets on the value
of a collateralized debt obligation (CDO) equity tranche, we show that, contrary to general …

Noticing the heavy tail dependence phenomenon in the Collateralised Debt Obligation
(CDO) markets, we utilize affine jump-diffusion processes involving Lévy stable distributions …

Securitization has been a significant breakthrough in our ability to manage financial risk. In
the same way that a futures contract permits exposure to price risk to be separated from …

Modelling the dynamics of credit derivatives is a challenging task in finance and economics.
The recent crisis has shown that the standard market models fail to measure and forecast …

In this paper we apply MGB2 distribution to price synthetic CDO. MGB2 distribution has
flexible dependence structure and it is suitable to model extreme risk. The monotonicity of …

The importance of global securitized debt markets can be gauged by their size, which have
been estimated to be about $10.4 trillion as of early 2018 (Morgan Stanley 2018). Of this …

We discuss the equity-based pricing of CDX tranches within a structural dynamic approach
and focus on the valuation impact of general model specifications. Therefore, we examine …

In this dissertation we study models for the valuation of portfolios of credit risky securities
and collateralised debt obligations. We start with models for single security of the reduced …