the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Capital for Structured Products

by Vladislav Peretyatkin of Birkbeck College, and
William Perraudin of Bank of England & Risk Control Limited

June 2004

Abstract: Structured products are complex instruments the payoffs on which depend on the performance of pools of correlated underlying assets and that possess a tranche structure, i.e., a set of rules that prescribe how cash flows on the underlying pool are split between the holders of several classes of claim of different seniorities. We employ is a generalisation of industry-standard, ratings-based credit portfolio models.

Books Referenced in this paper:  (what is this?)

Download paper (256K PDF) 33 pages

Most Cited Books within CDO Papers