Credit markets
Calibration of CDO tranches with the dynamical GPL model
Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti show that a simple loss dynamics based on the…
Industry sets template for loan modifications
A framework sponsored by the US administration to soften the impact of subprime resets provides comfort for servicers and clarity for investors
Protecting commercial real estate portfolios
Commercial property
Mixed reaction to central bank liquidity push
Central banks acting in concert eased liquidity troubles at the end of 2007 but a more fundamental improvement in money markets will be harder to achieve, say analysts
Perfectly balanced
Denmark
A platform for success
Practitioner profile
Giving credit its due
Investment
Assets relative risk for long-term investors
Technical papers
Going with the flow
Asia conference
Tailoring suits in Singapore
Profile
Asia: a new direction?
Markets
Getting off lightly
Securitisation
Current derivative trends in the Nordic markets
Sponsored Q&A
Economic capital ideas
Class Notes
Marking to mayhem
Structured Credit
Heating up
Structured Products
Remapping the future
Inflation
Market-implied Archimedean copulas
Computations of implied copulas are a central element in producing loss distributions of bespoke portfolios and pricing their tranches. This process is made feasible by the availability of index tranche pricing data. Luigi Vacca shows how it is possible…
A tragedy in three acts
Timeline
