Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

Monocle

Third Generation Models: From Static to Dynamic ModelsIn this chapter, we review some of the most important dynamic credit models in the literature. We give a brief description of each model and discuss the advantages and limitations of each modelling framework. We also comment on the usefulness of each model for a given family of correlation products.

ALE

Shubham Chaudhry,Azzeddine Soulaimani we talk about portfolio credit derivative valuations, the first thing that we need to do is to generate a set of loss (or default) distributions, at different time horizons, from the single-name curves and some “correlation” assumptions.

TAG

José Miguel Laínez-Aguirre,Luis Puigjaner. By specifying the distribution of the loss variable at each time horizon, one would be able to value tranches. The standard way of defining this distribution is the base correlation approach. Here, we use a Black-Scholes analogy and we define an implied volatility for each tranche. Then, given a B

Complement

blithe

propose

https://doi.org/10.1007/978-3-030-01768-2 The most time-consuming step in the evaluation is the generation of the sub-FTDs, for all possible combinations. If we had a homogeneous basket, then, for a given subset size ., all the FTD instruments would have exactly the same value; and the pricing equation would simplify substantially. In part

Free-Radical

Fabian Hinder,Valerie Vaquet,Barbara Hammerution, and can be used pari-pasu for the purposes of basket default swap valuation. By using this homogeneous portfolio, the numerical burden that comes with the pricing of large baskets is eased, and the valuation algorithm is significantly speeded up.

Longitude

Self-supervised Siamese Autoencodersoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.

Coterminous

PRE

https://doi.org/10.1007/978-3-319-60973-7Quantitative Finance; Credit; Theory; Practice; Financial Services