This paper describes a dynamic multivariate jump driven model in a credit setting. We set up a dynamic Levy model, more precisely a Multivariate Variance Gamma (VG) model, for a series of correlated spreads. The parameters of the model come from a two step calibration procedure. First, a joint...

In this paper we give a resume of the correlation concept that underlies the models for credit risk measurement, for the rating of structured products, for the pricing of (tranches of) structured products, and for Basel II capital charges. We discuss how securitization has changed the risk...

In this paper we look at a multifactor Monte Carlo Gaussian Copula based model to price CDO's of ABS's. The probabilities of default are implied from prices of ABS bonds and several notional amortisation schedules are proposed. A detailed sensitivity analysis is done with respect to recovery...

In an earlier paper we introduced Levy base correlation. In this paper we look at base expected loss at maturity both in the Gaussian copula and Levy based models and link it to base correlation in these frameworks. We report on the existence of smile in both base correlation curves and discuss...

In this paper we look at one factor models for TABX, the tranches of ABX.HE. Both the Gaussian copula and Levy base correlation method are applied to price the tranches. We describe adaptations made to the standard recursive approach for pricing TABX. next we compare the gaussian copula...

In an earlier paper we treated the concept of Base Expected Loss (BEL) (both for the Gaussian Copula and Levy Base Correlation models) as an arbitrage free approach to interpolate the base correlation curves for pricing non-standard tranches of the standardized credit indices. In this paper we...

In this paper we show how variations on the correlation among the underlying collateral of an asset backed security (ABS) impacts the correlation among the tranches in a portfolio of ABS's. Additionally we also show evidence of the dependency on the time frame. This paper should be read in...

In this presentation made in Dec 4th 2006 we show that indeed the current credit crunch was perfectly predictable (see slides 14, 21 and 22). We show that regulatory capital does not take into account the fact that correlation changes in time. The solution to the securitization business model...

The original Panjer recursion of the CreditRisk+ model is said to be unstable and therefore to yield inaccurate results of the tail distribution of credit portfolios. A much-hailed solution for the flaws of the Panjer recursion is the saddlepoint approximation method. In this paper we show that...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...