Dynamic CDO modeling became a hot topic prior to the crisis. The latter, however, showed clearly the inadequacy of static models based on Gaussian copula for pricing, hedging, and risk management. Further, the financial innovation in the market fueled a demand for dynamic models that can capture...

This note presents answers to the "Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs'' issued by ISDA. The consultation asks many questions related to technical details for the IBOR fallback term. Unfortunately it does not consider the...

This note is an answer to the consultation published by ISDA regarding the amendment of documentation to implement fallbacks in derivatives referencing EUR-LIBOR and EUR-EURIBOR. The consultation is based on question similar to the previous consultations. The answers we provided to those...

This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback...

Even if the name futures indicates a simple instrument, bond futures are complex. Several special features are embedded in the instrument. In particular the future is not written on one specific bond but on a basket of bonds, from which the short side can deliver the cheapest. This paper focuses...

No-arbitrage surfaces implied from the parameters of benchmark stochastic financial models have attracted considerable attention. They are convenient objects that statically give access to the marginals of the state variables and dynamically to their law. The former help to price vanillas and to...

The paper proposes a new methodology for bootstrapping a single-tranche CDO and estimating the term structure of expected loss. If for a CDS swap there is a clear established standard in the face of the ISDA CDS Standard Model that relies on a survival curve based on default intensity, for a CDO...

We provide a novel methodology for precise diagnostics of the dependence in portfolio credit derivatives under a top-down setting. The latter framework poses a conceptual challenge since no a priori copula is assumed and it can be only implied. Doing this can help not only to have a better...

Even if the name futures indicates a simple instrument, bond futures are complex. Several special features are embedded in the instrument. In particular the future is not written on one specific bond but on a basket of bonds, from which the short side can deliver the cheapest. This paper focuses...