English, Article edition: JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS FRIEDEL EPPLE; SAM MORGAN; LUTZ SCHLOEGL

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Physical Description
  • article
Language
  • English

Edition details

Title
  • JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
Author
  • FRIEDEL EPPLE
  • SAM MORGAN
  • LUTZ SCHLOEGL
Physical Description
  • article
Notes
  • The pricing of exotic portfolio products, e.g. path-dependent CDO tranches, relies on the joint probability distribution of portfolio losses at different time horizons. We discuss a range of methods to construct the joint distribution in a way that is consistent with market prices of vanilla CDO tranches. As an example, we show how our loss-linking methods provide estimates for the breakeven spreads of forward-starting tranches. .
  • CDOs, correlation modelling, path-dependent portfolio derivatives
  • RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:733-748
Language
  • English
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