CDO Mapping with Stochastic Recovery

by Andrea Prampolini of HSH Nordbank AG, and
Matthias Dinnis of HSH Nordbank AG

February 19, 2009

Abstract: We discuss in detail the mapping methodology for the valuation of bespoke single tranche Collateralized Debt Obligations in the context of the stochastic recovery Gaussian factor modelling framework recently proposed by Amraoui and Hitier (2008).

JEL Classification: G13.

Keywords: CDO, Mapping, Stochastic Recovery.

Download paper (247K PDF) 24 pages

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