Gamma loss and prepayment

In recent years, various approaches have been proposed for modelling credit derivatives. Since the emphasis of published models has been on synthetic collateralised debt obligations (CDOs), we give a brief overview of those models in this section before introducing the ideas needed for the modelling of asset-backed securities and derivatives thereof.

[image] - Gamma loss and prepayment (PDF, 531KB)

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: