English, Article edition: STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS ALEXANDER CHAPOVSKY; ANDREW RENNIE; PEDRO TAVARES

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Bookmark: http://trove.nla.gov.au/version/83402
Physical Description
  • article
Language
  • English

Edition details

Title
  • STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS
Author
  • ALEXANDER CHAPOVSKY
  • ANDREW RENNIE
  • PEDRO TAVARES
Physical Description
  • article
Notes
  • We propose a class of credit models where we model default intensity as a jump-diffusion stochastic process. We demonstrate how this class of models can be specialised to value multi-asset derivatives such as CDO and CDO2 in an efficient way. We also suggest how it can be adapted to the pricing of option on tranche and leverage tranche deals. We discuss how the model performs when calibrated to the market.
  • RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:633-652
Language
  • English
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