Downloadable Papers (sorted by date) See 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. (Oct-1)
An Overview of the Valuation of Collateralized Derivative Contracts by Jean-Paul Laurent of Université Paris 1 Panthéon-Sorbonne, Philippe Amzelek of BNP Paribas, and Joe Bonnaud of BNP Paribas (213K PDF) -- 18 pages -- October 2012 Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach by Antonio Castagna of iason Ltd., Fabio Mercurio of Bloomberg LP & iason Ltd., and Paola Mosconi of Banca IMI (213K PDF) -- 18 pages -- January 16, 2012 Dynamics of Dependence in Collateralized Debt Obligations by Barbara Choroś-Tomczyk of Humboldt-Universität, Berlin, Wolfgang Karl Härdle of Humboldt-Universität, Berlin, and Ludger Overbeck of Giessen University (430K PDF) -- 17 pages -- August 12, 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA by Masaaki Fujii of the University of Tokyo, and Akihiko Takahashi of the University of Tokyo (1355K PDF) -- 37 pages -- March 31, 2011 Fine-tuning the Equivalent Strike Framework for Bespoke CDO Pricing by Moez Mrad of the Crédit Agricole Corporate and Investment Bank, and Racem Triki of the Crédit Agricole Corporate and Investment Bank (405K PDF) -- 20 pages -- March 30, 2011 Pricing of CDOs Based on the Multivariate Wang Transform by Masaaki Kijima of the Tokyo Metropolitan University, Shin-ichi Motomiya of the Credit Pricing Corporation, Ltd., Tokyo, and Yoichi Suzuki of the Credit Pricing Corporation, Ltd., Tokyo (338K PDF) -- 28 pages -- February 8, 2010 Pricing Basket Default Swaps in a Tractable Shot-noise Model by Alexander Herbertsson of the University of Gothenburg, Jiwook Jang of the Macquarie University, and Thorsten Schmidt of the Chemnitz University of Technology (683K PDF) -- 18 pages -- January 25, 2011 The Impossible Trio in CDO Modeling by Emmanuel Schertzer of the Barclays Capital, Yadong Li of the Barclays Capital, and Umer Khan of the Barclays Capital (211K PDF) -- 12 pages -- November 30, 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes by Ernst Eberlein of the University of Freiburg, Zorana Grbac of the University of Freiburg, and Thorsten Schmidt of the Chemnitz University of Technology (268K PDF) -- 31 pages -- June 10, 2010 CDO Pricing: Copula implied by risk neutral dynamics by Sébastien Hitier of BNP Paribas, and Eric Huber of Ecole Polytechnique (358K PDF) -- 38 pages -- May 4, 2010 The Risk of Tranches Created from Residential Mortgages by John Hull of the University of Toronto, and Alan White of the University of Toronto (255K PDF) -- 33 page -- May 2010 A Top-down Model for Cash CLO by Yadong Li of Barclays Capital, and Ziyu Zheng of Morgan Stanley April 19, 2010 Consistent Valuation of Bespoke CDO Tranches by Yadong Li of Barclays Capital (470K PDF) - 21 pages -- March 13, 2010 Risk Analysis of Collateralized Debt Obligations by Kay Giesecke of Stanford University, and Baeho Kimy of Stanford University (600K PDF) -- 37 pages -- March 3, 2010 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs by Damiano Brigo of Imperial College, Andrea Pallavicini of Banca Leonardo, and Roberto Torresetti of BBVA (2,106K PDF) -- 66 pages -- February 17, 2010 Valuation Bounds of Tranche Options by Yadong Li of Barclays Capital, and Ariye Shater of Barclays Capital (148K PDF) - 19 pages -- February 4, 2010 A Top-down Approach to Multi-name Credit by Kay Giesecke of Stanford University, Lisa R. Goldberg of MSCI Barra, and Xiaowei Ding of Morgan Stanley (285K PDF) -- 34 pages -- February 2010 On the Consistency of "European Proxy" of Structural Models for Credit Derivatives by Frédéric D. Vrins of ING Bank (326K PDF) -- 15 pages -- January 2010 A Spot Stochastic Recovery Extension of the Gaussian Copula by Norddine Bennani of Barclays Capital, and Jerome Maetz of Barclays Capital (379K PDF) -- 21 pages -- January 2010 A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs by Andrei V. Lopatin of NumeriX, LLC (497K PDF) -- 31 pages -- November 29, 2009 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives by Igor Halperin of JP Morgan (638K 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 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 (195K PDF) -- 36 pages -- October 2009 Systematic Risk of CDOs and CDO Arbitrage by Alfred Hamerle of the University of Regensburg, Thilo Liebig of Deutsche Bundesbank, and Hans-Jochen Schropp of the University of Regensburg (428K PDF) -- 52 pages -- October 2009 Bank Incentives and Optimal CDOs by Henri Pagès 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 (206K PDF) -- 24 pages -- September 2010 Pricing CDOs with State Dependent Stochastic Recovery Rates by Salah Amraoui of BNP Paribas, Laurent Cousot of BNP Paribas, Sébastien Hitier of BNP Paribas, and Jean-Paul Laurent of Université Lyon 1 (436K PDF) -- 38 pages -- September, 9, 2009 A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology by Richard Zhou of the Depository Trust & Clearing Corporation (838K PDF) -- 34 pages -- September 8, 2009 Stressing Rating Criteria Allowing for Default Clustering: The CPDO case by Roberto Torresetti of Banco Bilbao Vizcaya Argentaria, and Andrea Pallavicini of Banca Leonardo (653K PDF) -- 37 pages -- September 4, 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 Pricing and Hedging CLOs with Implied Factor Models by Jovan Nedeljkovic of R^{2} Financial Technologies, Dan Rosen of R^{2} 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 (295K PDF) -- 31 pages -- June 13, 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 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 Dynamic CDO Term Structure Modelling by Damir Filipović of the University of Vienna & Vienna University of Economics and Business Administration, Ludger Overbeck of the University of Giessen, and Thorsten Schmidt of Chemnitz University of Technology (354K PDF) -- 22 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 Hong Liang of Industrial Bank (China) 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, Los Angeles, and Brett Myers of Purdue University & Research Affiliates, LLC (331K PDF) -- 44 pages -- March 2009 A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework 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 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 (431K PDF) -- 29 pages -- December 10, 2008 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 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, and 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 Termucture 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 Credit Risk Analysis of Cashflow CDO Structures by Philippos Papadopoulos of ABN AMRO, and Caroline I.M.L. Tan of ABN AMRO (199K PDF) -- 25 pages -- November 30, 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 (673K PDF) -- 38 pages -- November 2007 Pricing Tranched Credit Products with Generalized Multifactor Models by Manuel Moreno of the University of Castilla La-Mancha, Juan Ignacio Peña 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 Correlation by João Garcia of Dexia Group, Serge Goossens of Dexia Bank, Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and Wim Schoutens of Katholieke Universiteit Leuven (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 Base Expected Loss explains Lévy Base Correlation Smile by João Garcia of Dexia Group, and 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 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 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 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 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 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 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 Credit Barrier and Dynamic Correlation Techniques for Pricing Collateralized Debt Obligations of European Small and Medium-sized Enterprises by Louis Loizou of the University of Oxford & Dresdner Kleinwort Benson (1,454K PDF) -- 78 pages -- September 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 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 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 Søren 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 CDO^{2} 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 Ecole Normale Supérieure de Cachan, and Julien Houdain of Ecole Normale Supérieure de Cachan & Fortis Investments (3,312K 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 João 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 Søren 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 On Rating Cash Flow CDO's using the BET Technique by João 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 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 Capital for Structured Products by Vladislav Peretyatkin of Birkbeck College, and William Perraudin of Bank of England & Risk Control Limited (256K PDF) -- 33 pages -- June 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 All Your Hedges in One Basket by Leif Andersen of the Banc of America Securities, Jakob Sidenius of the Banc of America Securities, and Susanta Basu of the Banc of America Securities (165K PDF) -- 6 pages -- November 2003 Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Products by Stefano S. Galiani of King's College London (1,098K PDF) -- 68 pages -- September 4, 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 |