structures as well as for risk management and measurement applications involving the generation of scenarios for the complete … universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially …

The goal of this paper is to explore the model risk inherent in the rating and design of structured finance products …. Consistent with the recent work of Hull and White [2009], who explore alternative sources of model risk, we find that in the case …

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for … other asset classes, such as the risk neutral diffusion models used for equity, currency and commodity options derived from …