Tails of the unexpected

Credit Models


Credit models have come unstuck due to the crisis triggered by souring US subprime mortgage loans. While the base correlation approach using Gaussian copula models has long been criticised as a grossly oversimplified way of pricing bespoke collateralised debt obligation (CDO) tranches, the torrid markets of the past nine months have raised the volume of such criticisms. Banks have reported billions of dollars in losses on CDO holdings - in particular, on super-senior tranches of CDOs referencing

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 copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

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 individual account here: