STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS

Alexander Chapovsky, Andrew Rennie and Pedro Tavares ()
Additional contact information
Alexander Chapovsky: Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom
Andrew Rennie: Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom
Pedro Tavares: Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 04, 633-652

Abstract: 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.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024907004330
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:10:y:2007:i:04:n:s0219024907004330

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024907004330

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().