Downloadable Papers (sorted by date) 
NEW: The Top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (November-1)
A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
by Andrei V. Lopatin of NumeriX, LLC
(496K PDF) -- 31 pages -- October 18, 2009 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin of JP Morgan
(641K PDF) -- 41 pages -- October 14, 2009 Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(304K PDF) -- 22pages -- October 6, 2009 Bank Incentives and Optimal CDOs
by Henri Pagčs of the Banque de France
(376K PDF) -- 41 pages -- September 16, 2009 Affine Point Processes and Portfolio Credit Risk
by Eymen Errais of Calypso,
Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(324K PDF) -- 30 pages -- September 15, 2009 CDO Tranche Sensitivities in the Gaussian Copula Model
by Chao Meng of Louisiana State University, and
Ambar Sengupta of Louisiana State University
(251K PDF) -- 17 pages -- September 2009 Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses
by René Carmona of Princeton University,
Jean-Pierre Fouque of the University of California, Santa Barbara, and
Douglas Vestal of Julius Finance
(752K PDF) -- 21 pages -- September 2009 Stochastic Evolution Equations in Portfolio Credit Modelling
by Nick Bush of KBC Alternative Investment Management Ltd.,
Ben M. Hambly of the University of Oxford,
Helen Haworth of Credit Suisse, and
Christoph Reisinger of the University of Oxford
(279K PDF) -- 31 pages -- July 16, 2009 A Spot Recovery Rate Extension of the Gaussian Copula
by Norddine Bennani of Barclays Capital, and
Jerome Maetz of Barclays Capital
(300K PDF) -- 20 pages -- July 2009 On Break-even Correlation: The way to price structured credit derivatives by replication
by Jean-David Fermanian of BNP-Paribas, and
Olivier Vigneron of JP-Morgan
(679K PDF) -- 71 pages -- June 22, 2009 Risk Analysis of Collateralized Debt Obligations
by Kay Giesecke of Stanford University, and
Baeho Kimy of Stanford University
(598K PDF) -- 37 pages -- June 17, 2009 Pricing and Hedging CLOs with Implied Factor Models
by Jovan Nedeljkovic of R2 Financial Technologies,
Dan Rosen of R2 Financial Technologies & the Fields Institute, and
David Saunders of the University of Waterloo
(6,148K PDF) -- 40 pages -- June 15, 2009 Pricing Distressed CDOs with Stochastic Recovery
by Stephan Höcht of Technische Universität München, and
Rudi Zagst of Technische Universität München
(614K PDF) -- 31 pages -- June 13, 2009 A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology
by Richard Zhou of the Depository Trust & Clearing Corporation
(370K PDF) -- 34 pages -- June 1, 2009 An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(1,458K PDF) -- 35 pages -- June 2009 A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
by Andrei V. Lopatin of NumeriX, LLC
(496K PDF) -- 31 pages -- October 18, 2009 CDOs, How far should we depart from Gaussian copulas?
by Frederic Patras of the Université de Nice,
Jean-Pierre Lardy of JPLC, S.A.S.U., and
Francois Xavier Vialard of Ecole Normale Supérieure de Cachan
(193K PDF) -- 17 pages -- May 2009 The Risk of Tranches Created from Residential Mortgages
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(259K PDF) -- 25 page -- May 2009 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of Macquarie University, and
Thorsten Schmidt of of Chemnitz University of Technology
(265K PDF) -- 16 pages -- April 14, 2009 Lévy Density Based Intensity Modeling of the Correlation Smile
by Balakrishna Bannur -- Unaffiliated
(197K PDF) -- 17 pages -- April 6, 2009 Theoretical Solution versus Industry Standard: Optimal leverage function for CPDOs
by Evren Baydar of the University of Kaiserslautern,
Giuseppe Di-Graziano of King’s College London & Deutsche Bank AG, and
Ralf Korn of the University of Kaiserslautern
(539K PDF) -- 15 pages -- April 2009 Valuation of Loan CDS and Synthetic Loan CDO with Prepayment Risk
by Michael Liang of Industrial Bank CO., LTD.
(117K PDF) -- 12 pages -- March 23, 2009 Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009 Valuing Toxic Assets: An analysis of CDO equity
by Francis A. Longstaff of the University of California at Los Angeles, and
Brett Myers of Purdue University & Research Affiliates, LLC
(331K PDF) -- 44 pages -- March 2009 A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009 CDO Mapping with Stochastic Recovery
by Andrea Prampolini of HSH Nordbank AG, and
Matthias Dinnis of HSH Nordbank AG
(247K PDF) -- 24 pages -- February 19, 2009 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(387K PDF) -- 31 pages -- December 7, 2008 The Discrete Gamma Pool Model
by Peter Jäckel of ABN AMRO
(2,039K PDF) -- 23 pages -- November 16, 2008 Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(406K PDF) -- 31 pages -- September 10, 2008 On CDO Tranche Pricing when Copula is Nearly Comonotone
by Andrey Chirikhin of HSBC
(323K PDF) -- 21 pages -- August 8, 2008 Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008 Arbitrage-free Loss Surface Closest to Base Correlations
by Andrei Greenberg of Rabobank International
(253K PDF) -- 29 pages -- July 17, 2008 Utility Valuation of Multiname Credit Derivatives and Application to CDOs
by Ronnie Sircar of Princeton University, and
Thaleia Zariphopoulou of the University of Texas at Austin
(245K PDF) -- 23 pages -- July 2008 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
by Martin Scheicher of the European Central Bank
(1,006K PDF) -- 46 pages -- June 2008 Pricing Distressed CDOs with Base Correlation and Stochastic Recovery
by Martin Krekel of UniCredit
(156K PDF) -- 11 pages -- May 22, 2008 An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches
by Peter Feldhütter of the Copenhagen Business School
(423K PDF) -- 47 pages -- May 7, 2008 Optimal Dynamic Hedging of Cliquets
by Andrea Petrelli of Credit-Suisse,
Jun Zhang of Credit-Suisse,
Olivia Siu of Natixis, and
Rupak Chatterjee of Citi, and
Vivek Kapoor of Citi
(1,255K PDF) -- 49 pages -- May 2008 Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt,
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008 Dynamic Conditioning and Credit Correlation Baskets
by Claudio Albanese, Independent Consultant
Alicia Vidler of Merrill Lynch & Co.
(1,712K PDF) -- 31 pages -- April 21, 2008 Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the Université Lyon 1 & BNP Paribas
Areski Cousin of the Université Lyon 1, and
Jean-David Fermanian of BNP Paribas
(220K PDF) -- 31 pages -- April 8, 2008 CDO Loss Term-structure Expansions in a Fatal-Shock Framework
by Laurent Veilex of Credit-Suisse
(1,067K PDF) -- 28 pages -- April 2008 Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches
by Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(862K PDF) -- 16 pages -- March 2008 The Static Hedging of CDO Tranche Correlation Risk
by Michael B. Walker of the University of Toronto
(177K PDF) -- 15 pages -- February 5, 2008 CDO Pricing with Nested Archimedean Copulas
by Marius Hofert of the Universität Ulm, and
Matthias Scherer of Technische Universität München
(613K PDF) -- 26 pages -- January 24, 2008 Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) -- 49 pages -- January 5, 2008 Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models
by Dan Rosen of the Fields Institute and R2 Financial Technologies, and
David Saunders of the University of Waterloo
(462K PDF) -- 34 pages -- December 23, 2007 Structured Finance CDOs and Event of Default Risk
by Elizabeth R. Nugent of Fitch Ratings
(74K PDF) -- 5 pages -- December 3, 2007 Dynamic Copulas: Applications to finance and economics
by Daniel Totouom-Tangho of MINES ParisTech
(3,209K PDF) -- 158 pages -- November 6, 2007 Modeling of CPDOs Identifying Optimal and Implied Leverage
by Jochen Dorn of the Université Paris1 Panthéon-Sorbonne
(738K PDF) -- 26 pages -- November 2007 Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of the University of Castilla La-Mancha,
Juan Ignacio Peńa of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(288K PDF) -- 44 pages -- October 22, 2007 Advanced Credit Portfolio Modeling and CDO Pricing
by Ernst Eberlein of the University of Freiburg,
Rüdiger Frey of the University of Leipzig, and
Ernst August von Hammerstein of the University of Freiburg
(329K PDF) -- 27 pages -- September 14, 2007 A Structural Model for Credit-Equity Derivatives and Bespoke CDOs
by Claudio Albanese , and
Alicia Vidler of Merrill Lynch
(479K PDF) -- 27 pages -- September 9, 2007 Lévy Base Correlationd
by Joăo Garcia of Dexia Group, and
Serge Goossens of Dexia Bank
(175K PDF) -- 15 pages -- September 4, 2007 Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Dynamic Discrete-Time Multi-Step Markov Loss Model
by Michael B. Walker of the University of Toronto
(225K PDF) -- 26 pages -- August 29, 2007 Credit Derivatives in an Affine Framework
by Li Chen of Lehman Brothers, and
Damir Filipović of the University of Munich
(497K PDF) -- 20 pages -- August 2, 2007 CDO Evaluation Through Exact Simulation
by Beatrice Acciaio of the University of Perugia & Vienna University of Technology, and
Stefano Herzel of the University of Perugia
(223K PDF) -- 20 pages -- August 1, 2007 Credit Risk Analysis of Cashflow CDO Structures
by Philippos Papadopoulos of ABN AMRO, and
Caroline I.M.L. Tan of ABN AMRO
(200K PDF) -- 25 pages -- July 31, 2007 Base Expected Loss explains Lévy Base Correlation Smile
by Joăo Garcia of Dexia Group,
Serge Goossens of Dexia Bank
(182K PDF) -- 13 pages -- July 28, 2007 Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 Wiping the Smile Off Your Base (Correlation Curve)
by Ed Parcell of Derivative Fitch, and
James Wood of Derivative Fitch
(239K PDF) -- 23 pages -- June 21, 2007 Minimum-Entropy Calibration of CDO Tranches
by Sascha Meyer-Dautrich of UniCredit MIB, and
Christoph K.J. Wagner of UniCredit MIB
(93K PDF) -- 9 pages -- May 29, 2007 Implied Expected Tranched Loss Surface from CDO Data
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(677K PDF) -- 13 pages -- May 8, 2007 Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -- 35 pages -- May 3, 2007 Correlation Expansions for CDO Pricing
by Paul Glasserman of Columbia University, and
Sira Suchintabandid of Columbia University
(442K PDF) -- 24 pages -- May 2007 Using Distortions of Copulas to Price Synthetic CDOs
by Glenis Crane of the University of Adelaide, and
John van der Hoek of the University of Adelaide
(132K PDF) -- 15 pages -- May 2007 This is the 1,000th downloadable paper listed by DefaultRisk.com!!
First Generation CPDO: Case Study on Performance and Ratings
by Alexandre Linden of Derivative Fitch (London),
Matthias Neugebauer of Derivative Fitch (London),
Stefan Bund of Derivative Fitch (London),
John Schiavetta of Derivative Fitch (New York),
Jill Zelter of Derivative Fitch (New York), and
Rachel Hardee of Derivative Fitch (Hong Kong)
(730K PDF) -- 18 pages -- April 18, 2007 Risk Neutral versus Objective Loss Distribution and CDO Tranches Valuation
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(213K PDF) -- 13 pages -- April 13, 2007 Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(399K PDF) -- 22 pages -- April 2007 Forward-Start CDO's, Options on CDO's, and Calibration
by Michael B. Walker of the University of Toronto
(162K PDF) -- 17 pages -- March 27, 2007 Copula Based Simulation Procedures for Pricing Basket Credit Derivatives
by Fathi Abid of the University of Sfax, and
Nader Naifar of the University of Sfax
(386K PDF) -- 30 pages -- March 2007 Forwards and European Options on CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(67K PDF) -- 17 pages -- March 2007 Dynamic Copulas and Forward Starting Credit Derivatives
by Daniel Totouom of BNP Paribas
Margaret Armstrong of École des Mines de Paris
(582K PDF) -- 37 pages -- February 20, 2007 Loss Distribution Evaluation for Synthetic CDOs
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Xiaofang Ma of the University of Toronto
(213k PDF) -- 26 pages -- February 12, 2007 Valuation of Forward Starting CDOs
by Ken Jackson of the University of Toronto, and
Wanhe Zhang of the University of Toronto
(123K PDF) -- 15 pages -- February 10, 2007 A Note on the Risk Management of CDOs
by Jean-Paul Laurent of the Université Lyon 1 & BNP Paribas
(249K PDF) -- 17 pages -- February 2007 Higher Order Large Deviation Approximations Applied to CDO Pricing
by Laurent Veilex of Credit Suisse
(1,724K PDF) -- 44 pages -- February 2007 Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe & University of California, Santa Barbara, and
Frank J. Fabozzi of Yale University
(220 K PDF) -- 34 pages -- February 2007 CDOs in Chains
by Johan de Kock of Fraunhofer ITWM,
Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(144K PDF) -- 9 pages -- January 24, 2007 Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the University of Toronto
(178K PDF) -- 19 pages -- January 24, 2007 CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
by Michael B. Walker of the University of Toronto
(237K PDF) -- 26 pages -- January 19, 2007 The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
by Anna Kalemanova of Risklab Germany,
Bernd Schmid of UBS Investment Bank, and
Ralf Werner of Hypo Real Estate Holding, AG
(348K PDF) -- 29 pages -- January 2007 An Empirical Analysis of the Pricing of Collateralized Debt Obligations
by Francis A. Longstaff of the University of California, Los Angeles, and
Arvind Rajan of Citigroup
(852K PDF) -- 56 pages -- January 2007 Hedging of Basket Credit Derivatives in Credit Default Swap Market
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(325K PDF) -- 29 pages -- December 27, 2006 Lévy Simple Structural Models
by Martin Baxter of Nomura International plc
(134K PDF) -- 12 pages -- December 22, 2006 A Note on the Correlation Smile
by Svenja Hager of Eberhard-Karls University, and
Rainer Schöbel of Eberhard-Karls University
(1,415K PDF) -- 15 pages -- December 2006 Fast CDO Computations in the Affine Markov Chain Model
by Tom R. Hurd of McMaster University
Alexey Kuznetsov of McMaster University
(1,193K PDF) -- 24 pages -- November 23, 2006 Implied Correlation in CDO Tranches: A Paradigm To Be Handled with Care
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(119K PDF) -- 9 pages -- November 22, 2006 A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains
by Giuseppe Di Graziano of the University of Cambridge, and
Chris Rogers of the University of Cambridge
(193K PDF) -- 24 pages -- November 16, 2006 Considerations for Rating Commodities-Linked Credit Obligations ("CCOs")
by Lars Jebjerg of Derivative Fitch (London),
Gareth Stoyle of Derivative Fitch (London),
Olivier Vincens of Derivative Fitch (London),
David Austerweil of Fitch Ratings (New York),
Yintian Wang of Fitch Ratings (New York),
Ben Zhang of Fitch Ratings (New York), and
Rachel Hardee of Derivative Fitch (Hong Kong)
(436K PDF) -- 11 pages -- November 14, 2006 Valuing Credit Derivatives Using an Implied Copula Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(431K PDF) -- 41 pages -- November 2006 The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
by John Hull of the University of Toronto,
Mirela Predescu of the Oxford University, and
Alan White of the University of Toronto
(208K PDF) -- 36 pages -- November 2006 A Note on Markov Functional Loss Models
by Nordine Bennani of Dresdner Kleinwort
(243K PDF) -- 16 pages -- November 2006 Stochastic Intensity Modelling for Structured Credit Exotics
by Alexander Chapovsky of Merrill Lynch,
Andrew Rennie of Merrill Lynch, and
Pedro A. C. Tavares of Merrill Lynch
(273K PDF) -- 22 pages -- October 12, 2006 Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe & University of California, Santa Barbara, and
Frank J. Fabozzi of Yale University
(269K PDF) -- 39 pages -- October 2006 A Comparative Analysis of Correlation Skew Modeling Techniques for CDO Index Tranches
by Claudio Ferrarese of King's College London
(805K PDF) -- 58 pages -- September 8, 2006 A Generic One Factor Lévy Model for Pricing Synthetic CDOs
by Hansjörg Albrecher of the Radon Institute, Austrian Academy of Sciences, Linz & Graz University of Tech.
Sophie A. Ladoucette of Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(246K PDF) -- 20 pages -- September 2006 A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Levy Model
by Henrik Brunlid of Lund University
(406K PDF) -- 20 pages -- August 20, 2006 Understanding and Hedging Risks in Synthetic CDO Tranches
by Matthias Neugebauer of Fitch Ratings,
Jeremy Carter of Fitch Ratings,
Richard Hrvatin of Fitch Ratings,
Tania Cunningham of Fitch Ratings, and
Rachel Hardee of Fitch Ratings
(85K PDF) -- 7 pages -- August 4, 2006 Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs
by Louis Loizou of the University of Oxford
(1,451K PDF) -- 78 pages -- July 2006 CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure
by Michael B. Walker of the University of Toronto
(176K PDF) -- 17 pages -- May 29, 2006 An Implied Loss Model
by Martijn van der Voort of Abn Amro Bank & Erasmus University Rotterdam
(343K PDF) -- 26 pages -- May 11, 2006 An Efficient Approach to Valuation of Credit Basket Products and Ratings Triggered Step-up Bonds
by Tomasz Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(286K PDF) -- 25 pages -- May 2, 2006 Levy Process Dynamic Modelling of Single-Name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(91K PDF) -- 10 pages -- April 27, 2006 Optimal Static Hedging of Defaults in CDOs
by Andrea Petrelli of Credit Suisse,
Olivia Siu of Morgan Stanley,
Jun Zhang of Credit Suisse, and
Vivek Kapoor of UBS
(531K PDF) -- 34 pages -- April 2006 Credit Risk Models IV: Understanding and pricing CDOs
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(581K PDF) -- 52 pages -- April 2006 Dynamic Modelling of Single-name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(96K PDF) -- 9 pages -- March 20, 2006 An Integro-differential Equation for Pricing CDO
by Guibao Liu of CNH Partners
(96K PDF) -- 6 pages -- March 17, 2006 Pricing CDOs with Correlated Variance Gamma Distributions
by Thomas Moosbrucker of the University of Cologne
(289K PDF) -- 31 pages -- February 2006 Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
by Allan Mortensen of Goldman Sachs International
(322K PDF) -- 47 pages -- January 13, 2006 Valuation of Basket Credit Derivatives in the Credit Migrations Environment
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(362K PDF) -- 28 pages -- January 2006 On Copulas and their Application to CDO Pricing
by Benjamin Verschuere of the University of Toronto
(497K PDF) -- 37 pages -- January 2006 Implied Correlations in CDO Tranches
by NNicole Lehnert of the Universität Karlsruhe,
Frank Altrock of WestLB AG,
Svetlozar T. Rachev of the Universität Karlsruhe & University of California, Santa Barbara,
Stefan Trück of Queensland University of Technology, and
Andre Wilch of WestLB AG
(246K PDF) -- 29 pages -- December 20, 2005 Hedging and Asset Allocation for Structured Products
by Robert Lamb of Imperial College,
Vladislav Peretyatkin of Imperial College, and
William Perraudin of Imperial College
(161K PDF) -- 25 pages -- December 2005 Fitting the CDO Correlation Skew: A tractable structural jump-diffusion model
by Sřren Willemann of the Aarhus School of Business
(269K PDF) -- 26 pages -- November 9, 2005 The Forward Loss Model: A dynamic term structure approach for the pricing of portfolio credit derivatives
by Nordine Bennani of the Royal Bank of Scotland
(234K PDF) -- 17 pages -- November 2, 2005 Dynamic Copula Processes: A new way of modelling CDO tranches
by Daniel Totouom of BNP Paribas, and
Margaret Armstrong of École des Mines de Paris
(796K PDF) -- 23 pages -- November 2005 An Incomplete-Market Model for Collateralized Debt Obligations
by Michael B. Walker of the University of Toronto
(227K PDF) -- 24 pages -- October 27, 2005 CDO2 Pricing Using Gaussian Mixture Model with Transformation of Loss Distribution
by David X. Li of Barclays Capital, and
Michael Hong Liang of Barclays Capital
(274K PDF) -- 27 pages -- September 5, 2005 Default Risk Sharing Between Banks and Markets: The contribution of collateralized debt obligations
by Günter Franke of the University of Konstanz, and
Jan Pieter Krahnen of the University of Frankfurt
(756K PDF) -- 38 pages -- August 18, 2005 A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives
by Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(238K PDF) -- 21 pages -- June 3, 2005 Collateralized Debt Obligations Pricing and Factor Models: A new methodology using Normal Inverse Gaussian distributions
by Dominique Guegan of the Ecole Normale Superieure, and
Julien Houdain of the Ecole Normale Superieure & Fortis Investments
(3,264K PDF) --29 pages -- June 2005 Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
by Marius G. Rott of DZ Bank, and
Christian P. Fries of DZ Bank
(610K PDF) -- 32 pages -- May 31, 2005 Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives
by Mark Joshi of the Royal Bank of Scotland, and
Alan Stacey of the Royal Bank of Scotland
(135K PDF) -- 12 pages -- May 11, 2005 Pricing and Rating CDOs of Equity Default Swaps with NGARCH-M Copulae
by Domenico Picone of the Cass Business School - London
(491K PDF) -- 48 pages -- May 5, 2005 Structuring and Rating Cash-flow CDOs with Rating Transition Matrices
by Domenico Picone of the Cass Business School - London
(585K PDF) -- 60 pages -- May 5, 2005 Comparing BET and Copulas for Cash Flows CDO's
by Joăo Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Luc Leonard of Dexia Group
Thomas Alderweireld of Dexia Group
Tony Van Gestel of Dexia Group
(88K PDF) -- 26 pages -- January 31, 2005 An Evaluation of the Base Correlation Framework for Synthetic CDOs
by Sřren Willemann of the Aarhus School of Business
(334K PDF) -- 25 pages -- December 20, 2004 CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004 A Note on Efficient Pricing and Risk Calculation of Credit Basket Products
by Hans-Juergen Brasch of TD Securities
(181K PDF) -- 16 pages -- November 2004 Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Loan Obligations
by Günter Franke of the Konstanz Universitaet, and
Jan Pieter Krahnen of the Goethe-Universitaet and CEPR
(181K PDF) -- 16 pages -- October 10, 2004 On Rating Cash Flow CDO's using the BET Technique
by Joăo Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Ronny Langendries of Dexia Group
Luc Leonard of Dexia Group
Tony Van Gestel of Dexia Group
(92K PDF) -- 26 pages -- October 8, 2004 Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(287K PDF) -- 40 pages -- September 2004 Composite Basket Model
by Pedro A.C. Tavares of Merrill Lynch,
Thu-Uyen Nguyen of Merrill Lynch,
Alexander Chapovsky of Merrill Lynch, and
Igor Vaysburd of Merrill Lynch
(204K PDF) -- 4 pages -- July 21, 2004 CDO Squared: A Closer Look at Correlation
by Matthias Neugebauer of Fitch Ratings,
Richard Gambel of Fitch Ratings,
Jill Zelter of Fitch Ratings,
Richard Hrvatin of Fitch Ratings, and
Mike Gerity of Fitch Ratings
(287K PDF) -- 11 pages -- February 2, 2004 CDO Modeling: Techniques, Examples and Applications
by Christian Bluhm of HypoVereinsbank
(635K PDF) -- 37 pages -- December 10, 2003 Pricing Multi-Name Default Swaps with Counterparty Risk
by Roy Mashal of Lehman Brothers Inc., and
Marco Naldi of Lehman Brothers Inc.
(715K PDF) -- 18 pages -- November 19, 2003 Basket Default Swaps, CDO's and Factor Copulas
by Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Jon Gregory of BNP Paribas
(293K PDF) -- 21 pages -- September 2003 Model Risk in Copula Based Default Pricing Models
by Heinrich Gennheimer of the University of Zurich & NCCR FINRISK
(1,056K PDF) -- 45 pages -- November 2002 Collateralised Debt Obligations
by Domenico Picone of the City University Business School, London & the Royal Bank of Scotland
(994K PDF) -- 42 pages -- September 2002 On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002 Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
by Roy Mashal of the Columbia Business School, and
Marco Naldi of Lehman Brothers, Inc.
(506K PDF) -- 28 pages -- January 7, 2002 Risk and Valuation of Collateralized Debt Obligations
by Darrell Duffie of Stanford University, and
Nicolae Gârleanu of Stanford University
(559K PDF) -- 46 pages -- September 23, 2001 Modelling Dependence for Credit Derivatives with Copulas
by Jean-Frédéric Jouanin of Credit Lyonnais,
Gregory Rapuch of Credit Lyonnais,
Gaël Riboulet of Credit Lyonnais, and
Thierry Roncalli of Credit Lyonnais
(3,010K PDF) -- 23 pages -- August 25, 2001 | 
