A Comparative Analysis of Cdo Pricing Models Introduction

@inproceedings{Burtschell2005ACA,
  title={A Comparative Analysis of Cdo Pricing Models Introduction},
  author={Burtschell and Gr{\'e}gory and Laurent and Jon and gregroy and laurent. jeanpaul},
  year={2005}
}
  • Burtschell, Grégory, +3 authors laurent. jeanpaul
  • Published 2005
We compare some popular CDO pricing models, related to the bottom‐up approach. Dependence between default times is modelled through Gaussian, stochastic correlation, Student t, double t, Clayton and Marshall‐Olkin copulas. We detail the model properties and compare the semi‐analytic pricing approach with large portfolio approximation techniques. We study the independence and perfect dependence cases and the uniqueness of base correlation. The ability of the models to fit the correlation skew… CONTINUE READING
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