A bottom-up model with top-down dynamics
The recent volatility in the synthetic collateralised debt obligation (CDO) market underscores the need for more consistent models beyond the standard base correlation model, whose drawbacks are well understood and documented. Much effort has been devoted to the development of proper dynamic correlation models.
There are two main types of dynamic correlation models in the literature: the top-down approach (for example, Sidenius, Piterbarg & Andersen, 2006, and Schonbucher, 2006) and the bottom
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Credit derivatives
Risk Management
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Receive this by email