studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base … correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base … correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base … correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

provides an equivalent strike that is independent from the index base correlation. This feature is valuable when pricing very … junior and senior tranches or when computing index tranches (or index base correlation) sensitivities. Our numerical tests on …

This paper discusses various ways to add correlated stochastic recovery to the base correlation framework for pricing …

weighted least squares of the mark to market. The base correlation curve implied from the Gaussian copula is skewed. The base … base correlations of the individual tranches are not consistent, it is impossible to interpolate the base correlation for a … non-standard tranche. A less skewed implied base correlation curve will be one of our interests in the future study. …