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

Chapter 3 in Credit Correlation:Life After Copulas, 2007, pp 41-60 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe 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.

Keywords: Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812709509_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812709509_0003 (text/html)
Ebook Access is available upon purchase.

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:wschap:9789812709509_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().