Hull & White at work on new CDO pricing model

credit tech

Two of the leading academics in derivatives and risk management research, John Hull and Alan White, are working with the Reech unit of US-based vendor, SunGard, to develop a new structured credit pricing suite, the firm announced in June. The new suite will build on their double-T copula pricing model for collateralised debt obligations. This model introduces a flatter correlation smile than the market standard Gaussian copula, using implied correlation to price directly from indices such as

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