CDO Mapping with Stochastic Recovery
by Andrea Prampolini of HSH Nordbank AG, and
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).
Keywords: CDO, Mapping, Stochastic Recovery.
Related reading: Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model,