Individual names in top-down CDO pricing models

This article has three aims. The first is to present a new top-down approach to collateralised debt obligation (CDO) tranche pricing that: admits a natural interpretation of model parameters in terms of individual spreads; fits to all potential default distributions; is suitable for individual names and bespoke CDOs; is consistent with equity, currency and interest rate models, and hence suitable for hybrid products; has a natural extension to dynamic modelling, credit options and random recover