Term Structure Dimension

Anna Schlösser ()
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Anna Schlösser: Hedging and Derivatives Strategies

Chapter Chapter 6 in Pricing and Risk Management of Synthetic CDOs, 2011, pp 167-176 from Springer

Abstract: Abstract First, the most quantitative research has been focused on improving the Gaussian copula model to fit different tranches of one CDO simultaneously, so that it would be possible to price off-market tranches as well. We have discussed this modeling dimension in the previous section. Since 2005 CDX and iTraxx tranches started trading more actively also in other maturities besides of 5 years, namely 7 and 10 years. Increase of liquidity in different maturities turned the research interest into the term-structure dimension of the models.

Keywords: Asset Return; Expected Loss; Loss Distribution; Copula Model; Base Correlation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-15609-0_6

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