Pricing CDO With a Smile : the Local Correlation Model

The local correlation model allows pricing CDO tranches with varying implied correlations. The model is based on the classic one-factor copula model and views default correlation as a function of the market factor. This paper presents semi-closed formulae for the expected value of default risk on various tranches.This paper was published in Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling (Wiley), edited by Rama Cont

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Year of publication:	[2021]
Authors:	Turc, Julien ; Very, Philippe
Publisher:	[S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Optionspreistheorie \| Option pricing theory \| Kreditrisiko \| Credit risk \| Volatilität \| Volatility \| Kreditderivat \| Credit derivative \| Asset-Backed Securities \| Asset-backed securities
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 16, 2008 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

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