Diresh Jewan

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This research work investigates the theoretical foundations and computational aspects of constructing optimal bespoke CDO structures. Due to the evolutionary nature of the CDO design process, stochastic search methods that mimic the metaphor of natural biological evolution are applied. For efficient searching the optimal solution, the nondominating sort(More)
The behaviour of the efficient frontier for CDOs of bespoke portfolios is investigated under one-factor copula marginal distributional assumptions. This approach has been thoroughly used in statistical literature. The main feature of these models is that default events, conditional on some latent state variable, are independent. This eases the computation(More)
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