Pricing and hedging of CDO-squared tranches by using a one factor Lévy model

F Guillaume, P Jacobs, W Schoutens - International Journal of …, 2009 - World Scientific
This paper provides a comparison of the exponential copula Lévy model with the classical
Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of …

Modeling of CPDOs–Identifying optimal and implied leverage

J Dorn - Journal of Banking & Finance, 2010 - Elsevier
When the subprime crisis started to emerge, collateralized products based on credit default
swap (CDS) exposures combined with security features seemed to be a more rational …

A CDO Option Market Model for Standardized CDS Index Tranches

J Dorn - Available at SSRN 1138384, 2008 - papers.ssrn.com
This paper provides a Market Model which implies a dynamic for standardized CDS index
tranche spreads, ie tranches which securitise CDS index series and dispose of predefined …

[PDF][PDF] A CDO option market model for standardized CDS index tranches

D Jochen - 2010 - fields.utoronto.ca
A CDO option market model for standardized CDS index tranches Page 1 Preliminaries The
Model Conclusion Implementation Bachelier World Congress, Toronto 2010 A CDO option …

[PDF][PDF] SECTION OF STATISTICS

AONEFL MODEL - 2008 - perswww.kuleuven.be
This paper provides a comparison of the exponential copula Lévy model with the classical
Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of …

Modeling of CDO Options with multi-period Spread Dynamics

J Dorn, Y Sadouni - Available at SSRN 1158000, 2008 - papers.ssrn.com
This paper provides a multi-period extension of the Market Model for forward-start options
written on standardized CDS Index Tranches, presented by DORN (2007). Standardized …

[CITATION][C] Modelling cpdos identifying optimal and implied leverage

J Dorn - Université Paris, Panthéon-Sorbonne, 2007

[CITATION][C] Modeling of CPDOs Identifying Optimal and Implied Leverage

D Jochen - 2007