Calibration of CDO tranches with the dynamical GPL model

We consider a dynamical model for the loss distribution of a pool of names. Our model focuses on three points: tractability – the loss distribution should be known analytically; the calibration of market information, currently quoted index collateralised debt obligation (CDO) tranches and tranchelets for several maturities should be possible, and realistic numerical examples should be given; and the pricing of correlation products depending on the loss distribution dynamics should be feasible in

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: