Downloadable Papers (sorted by date)
NEW: The Top 20 books referenced/cited in these (below listed) papers.
I've put a gray background on the top five most browsed papers in this category. (April-1)
Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt,
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008
A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(243K PDF) -- 26 pages -- April 21, 2008
Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
Areski Cousin of the University of Lyon, and
Jean-David Fermanian of BNP Paribas
(220K PDF) –- 31 pages -- April 8, 2008
CDO Loss Term-structure Expansions in a Fatal-Shock Framework
by Laurent Veilex of Credit-Suisse
(1,067K PDF) -- 28 pages -- April 2008
Dynamic Conditioning and Credit Correlation Baskets
by Claudio Albanese, Independent Consultant
Alicia Vidler of Merrill Lynch
(1,712K PDF) -- 31 pages -- April 21, 2008
Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(378K PDF) -- 29 pages -- March 3, 2008
Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches
by Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(862K PDF) -- 16 pages -- March 2008
The Discrete Gamma Pool Model
by Peter Jäckel of ABN AMRO
(2,097K PDF) -- 23 pages -- February 23, 2008
Interacting Particle Systems for the Computation of CDO Tranche Spread with Rare Defaults
by Douglas Vestal of the University of California, Santa Barbara,
René Carmona of Princeton University, and
Jean-Pierre Fouque of the
University of California, Santa Barbara
(236K PDF) -- 23 pages -- January 24, 2008
CDO Pricing with Nested Archimedean Copulas
by Marius Hofert of the Universität Ulm, and
Matthias Scherer of Technische Universität München
(613K PDF) -- 26 pages -- January 24, 2008
Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) –- 49 pages -- January 5, 2008
A Top Down Approach to Multi-name Credit
by Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(271K PDF) -- 24 pages -- November 5, 2007
Advanced Credit Portfolio Modeling and CDO Pricing
by Ernst Eberlein of the University of Freiburg,
Rüdiger Frey of the University of Leipzig, and
Ernst August von Hammerstein of the University of Freiburg
(329K PDF) -- 27 pages -- September 14, 2007
A Structural Model for Credit-Equity Derivatives and Bespoke CDOs
by Claudio Albanese , and
Alicia Vidler of Merrill Lynch
(479K PDF) -- 27 pages -- September 9, 2007
Pricing Credit from the Top Down with Affine Point Processes
by Eymen Errais of Stanford University,
Kay Giesecke of Stanford University, and
Lisa Goldberg of MSCI Barra
(391K PDF) –- 29 pages -- September 5, 2007
Utility Valuation of Multiname Credit Derivatives and Application to CDOs
by Ronnie Sircar of Princeton University, and
Thaleia Zariphopoulou of the University of Texas at Austin
(259K PDF) -- 23 pages -- September 2007
Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Discrete-Time Multi-Step Markov Loss Model
by Michael B. Walker of the University of Toronto
(225K PDF) -– 26 pages -- August 29, 2007
Lévy Base Correlation Explained
by Joăo Garcia of Dexia Group, and
Serge Goossens of Dexia Bank
(241K PDF) -- 13 pages -- August 12, 2007
Credit Derivatives in an Affine Framework
by Li Chen of Lehman Brothers, and
Damir Filipović of the University of Munich
(497K PDF) -- 0 pages -- August 2, 2007
CDO Evaluation Through Exact Simulation
by Beatrice Acciaio of the University of Perugia & Vienna University of Technology, and
Stefano Herzel of the University of Perugia
(223K PDF) -- 20 pages -- August 1, 2007
Credit Risk Analysis of Cashflow CDO Structures
by Philippos Papadopoulos of ABN AMRO, and
Caroline I.M.L. Tan of ABN AMRO
(200K PDF) -- 25 pages -- July 31, 2007
Base Expected Loss explains Lévy Base Correlation Smile
by Joăo Garcia of Dexia Group,
Serge Goossens of Dexia Bank
(182K PDF) -- 13 pages -- July 28, 2007
Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007
Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(242K PDF) -- 9 pages -- July 15, 2007
Wiping the Smile Off Your Base (Correlation Curve)
by Ed Parcell of Derivative Fitch, and
James Wood of Derivative Fitch
(239K PDF) -- 23 pages -- June 21, 2007
Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(393K PDF) -- 30 pages -- June 18, 2007
Minimum-Entropy Calibration of CDO Tranches
by Sascha Meyer-Dautrich of UniCredit MIB, and
Christoph Wagner of UniCredit MIB
(93K PDF) –- 9 pages -- May 29, 2007
Implied Expected Tranched Loss Surface from CDO Data
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(677K PDF) –- 13 pages -- May 8, 2007
An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches
by Peter Feldhütter of the Copenhagen Business School
(467K PDF) -- 52 pages -- May 7, 2007
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -– 35 pages -- May 3, 2007
Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of Universidad Carlos III, Madrid,
Juan Ignacio Peńa of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(420K PDF) -- 44 pages -- May 2007
Correlation Expansions for CDO Pricing
by Paul Glasserman of Columbia University, and
Sira Suchintabandid of Columbia University
(442K PDF) -- 24 pages -- May 2007
Using Distortions of Copulas to Price Synthetic CDOs
by Glenis Crane of the University of Adelaide, and
John van der Hoek of the University of Adelaide
(132K PDF) -- 15 pages -- May 2007
Risk Neutral versus Objective Loss Distribution and CDO Tranches Valuation
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(213K PDF) –- 13 pages -- April 13, 2007
Forward-Start CDO's, Options on CDO's, and Calibration
by Michael Walker of the University of Toronto
(162K PDF) -- 17 pages -- March 27, 2007
Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds
by Tomasz Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(401K PDF) -- 22 pages --March 17, 2007
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach
by Alexander Herbertsson of Göteborg University
(379K PDF) -- 27 pages -- March 15, 2007
Copula Based Simulation Procedures for Pricing Basket Credit Derivatives
by Fathi Abid of the University of Sfax, and
Nader Naifar of the University of Sfax
(386K PDF) -- 30 pages -- March 2007
Forwards and European Options on CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(67K PDF) -- 17 pages -- March 2007
Dynamic Copulas and Forward Starting Credit Derivatives
by Daniel Totouom of BNP Paribas
Margaret Armstrong of École des Mines de Paris
(582K PDF) -- 37 pages -- February 20, 2007
Loss Distribution Evaluation for Synthetic CDOs
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Xiaofang Ma of the University of Toronto
(213k PDF) –- 26 pages -- February 12, 2007
Valuation of Forward Starting CDOs
by Ken Jackson of the University of Toronto, and
Wanhe Zhang of the University of Toronto
(123K PDF) –- 15 pages -- February 10, 2007
A Note on the Risk Management of CDOs
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
(249K PDF) –- 17 pages -- February 2007
Higher Order Large Deviation Approximations Applied to CDO Pricing
by Laurent Veilex of Credit Suisse
(1,724K PDF) –- 44 pages -- February 2007
Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe, and
Frank J. Fabozzi of Yale University
(220 K PDF) -- 34 pages -- February 2007
CDOs in Chains
by Johan de Kock of Fraunhofer ITWM,
Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(144K PDF) -– 9 pages -- January 24, 2007
Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the University of Toronto
(178K PDF) -- 19 pages -- January 24, 2007
CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
by Michael Walker of the University of Toronto
(237K PDF) -– 26 pages -- January 19, 2007
Hedging of Basket Credit Derivatives in Credit Default Swap Market
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(325K PDF) -- 29 pages -- December 27, 2006
Lévy Simple Structural Models
by Martin Baxter of Nomura International
(134K PDF) -- 12 pages -- December 22, 2006
A Note on the Correlation Smile
by Svenja Hager of Eberhard-Karls University, and
Rainer Schöbel of Eberhard-Karls University
(1,415K PDF) -- 15 pages -- December 2006
Fast CDO Computations in the Affine Markov Chain Model
by Tom R. Hurd of McMaster University
Alexey Kuznetsov of McMaster University
(1,193K PDF) –- 24 pages -- November 23, 2006
Implied Correlation in CDO Tranches: A Paradigm To Be Handled with Care
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(119K PDF) -– 9 pages -- November 22, 2006
A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains
by Giuseppe Di Graziano of the University of Cambridge, and
Chris Rogers of the University of Cambridge
(193K PDF) –- 24 pages -- November 16, 2006
Considerations for Rating Commodities-Linked Credit Obligations ("CCOs")
by Lars Jebjerg of Derivative Fitch (London),
Gareth Stoyle of Derivative Fitch (London),
Olivier Vincens of Derivative Fitch (London),
David Austerweil of Fitch Ratings (New York),
Yintian Wang of Fitch Ratings (New York),
Ben Zhang of Fitch Ratings (New York), and
Rachel Hardee of Derivative Fitch (Hong Kong)
(436K PDF) –- 11 pages -- November 14, 2006
Valuing Credit Derivatives Using an Implied Copula Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(431K PDF) –- 41 pages -- November 2006
The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
by John Hull of the University of Toronto,
Mirela Predescu of the Oxford University, and
Alan White of the University of Toronto
(208K PDF) –- 36 pages -- November 2006
A Note on Markov Functional Loss Models
by Nordine Bennani of Dresdner Kleinwort
(243K PDF) -- 16 pages -- November 2006
Loss Unit Interpolation in the Collateralized Debt Obligation Pricing Model
by Ed Parcell of DDerivative Fitch
(104K PDF) -- 3 pages -- October 27, 2006
Stochastic Intensity Modelling for Structured Credit Exotics
by Alexander Chapovsky of Merrill Lynch,
Andrew Rennie of Merrill Lynch, and
Pedro A. C. Tavares of Merrill Lynch
(273K PDF) -- 22 pages -- October 12, 2006
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe & University of California, Santa Barbara, and
Frank J. Fabozzi of Yale University
(269K PDF) -- 39 pages -- October 2006
A Comparative Analysis of Correlation Skew Modeling Techniques for CDO Index Tranches
by Claudio Ferrarese of King's College London
(805K PDF) -- 58 pages -- September 8, 2006
A Generic One Factor Lévy Model for Pricing Synthetic CDOs
by Hansjörg Albrecher of the Radon Institute, Austrian Academy of Sciences, Linz & Graz University of Tech.
Sophie A. Ladoucette of Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(246K PDF) –- 20 pages -- September 2006
Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Levy Model
by Henrik Brunlid of Lund University
(406K PDF) –- 20 pages -- August 20, 2006
Understanding and Hedging Risks in Synthetic CDO Tranches
by Matthias Neugebauer of Fitch Ratings,
et. al.
(85K PDF) -- 7 pages -- August 4, 2006
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
by Francis A. Longstaff of the University of California at Los Angeles, and
Arvind Rajan of Citigroup
(909K PDF) –- 47 pages -- July 2006
Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs
by Louis Loizou of the University of Oxford
(1,451K PDF) -– 78 pages -- July 2006
CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure
by Michael B. Walker of the University of Toronto
(176K PDF) –- 17 pages -- May 29, 2006
An Implied Loss Model
by Martijn van der Voort of Abn Amro Bank & Erasmus University Rotterdam
(343K PDF) –- 26 pages -- May 11, 2006
An Efficient Approach to Valuation of Credit Basket Products and Ratings Triggered Step-up Bonds
by Tomasz Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(286K PDF) –- 25 pages -- May 2, 2006
The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
by Anna Kalemanova of Risklab Germany & Technical University of Munich
Bernd Schmid of Algorithmics, Inc., and
Ralf Werner of Allianz of GRC Risk Methodology
(313K PDF) -- 19 pages -- May 2006
Levy Process Dynamic Modelling of Single-Name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(91K PDF) -– 10 pages -- April 27, 2006
Optimal Static Hedging of Defaults in CDOs
by Vivek Kapoor of UBS,
Andrea Petrelli of Credit Suisse,
Jun Zhang of Credit Suisse, and
Olivia Siu of Morgan Stanley
(575K PDF) -- 34 pages -- April 2006
Credit Risk Models IV: Understanding and pricing CDOs
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(581K PDF) -- 52 pages -- April 2006
Dynamic Modelling of Single-name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(96K PDF) -- 9 pages -- March 20, 2006
An Integro-differential Equation for Pricing CDO
by Guibao Liu of CNH Partners
(96K PDF) -- 6 pages -- March 17, 2006
Pricing CDOs with Correlated Variance Gamma Distributions
by Thomas Moosbrucker of the University of Cologne
(289K PDF) -- 31 pages -- February 2006
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
by Allan Mortensen of the Copenhagen Business School
(322K PDF) -- 47 pages -- January 13, 2006
Valuation of Basket Credit Derivatives in the Credit Migrations Environment
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(362K PDF) –- 28 pages -- January 2006
On Copulas and their Application to CDO Pricing
by Benjamin Verschuere of the University of Toronto
(497K PDF) –- 37 pages -- January 2006
Implied Correlations in CDO Tranches
by NNicole Lehnert of the Universität Karlsruhe,
Frank Altrock of WestLB AG,
Svetlozar T. Rachev of the Universität Karlsruhe & University of California, Santa Barbara,
Stefan Trück of Queensland University of Technology, and
Andre Wilch of WestLB AG
(246K PDF) -- 29 pages -- December 20, 2005
Hedging and Asset Allocation for Structured Products
by Robert Lamb of Imperial College,
Vladislav Peretyatkin of Imperial College, and
William Perraudin of Imperial College
(161K PDF) -- 25 pages -- December 2005
Fitting the CDO Correlation Skew: A tractable structural jump-diffusion model
by Sřren Willemann of the Aarhus School of Business
(269K PDF) -- 26 pages -- November 9, 2005
The Forward Loss Model: A dynamic term structure approach for the pricing of portfolio credit derivatives
by Nordine Bennani of the Royal Bank of Scotland
(234K PDF) -- 17 pages -- November 2, 2005
Dynamic Copula Processes: A new way of modelling CDO tranches
by Daniel Totouom of BNP Paribas, and
Margaret Armstrong of École des Mines de Paris
(796K PDF) -- 23 pages -- November 2005
An Incomplete-Market Model for Collateralized Debt Obligations
by Michael B. Walker of the University of Toronto
(227K PDF) -- 24 pages -- October 27, 2005
CDO2 Pricing Using Gaussian Mixture Model with Transformation of Loss Distribution
by David X. Li of Barclays Capital, and
Michael Hong Liang of Barclays Capital
(274K PDF) -- 27 pages -- September 5, 2005
Default Risk Sharing Between Banks and Markets: The contribution of collateralized debt obligations
by Günter Franke of the University of Konstanz, and
Jan Pieter Krahnen of the University of Frankfurt
(756K PDF) -- 38 pages -- August 18, 2005
A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives
by Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(238K PDF) –- 21 pages -- June 3, 2005
Collateralized Debt Obligations Pricing and Factor Models: A new methodology using Normal Inverse Gaussian distributions
by Dominique Guegan of the Ecole Normale Superieure, and
Julien Houdain of the Ecole Normale Superieure & Fortis Investments
(3,264K PDF) --29 pages -- June 2005
Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
by Marius Rott of DZ Bank, and
Christian Fries of DZ Bank
(610K PDF) -– 32 pages -- May 31, 2005
Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives
by Mark Joshi of the Royal Bank of Scotland, and
Alan Stacey of the Royal Bank of Scotland
(135K PDF) –- 12 pages -- May 11, 2005
Pricing and Rating CDOs of Equity Default Swaps with NGARCH-M Copulae
by Domenico Picone of the Cass Business School - London
(491K PDF) -- 48 pages -- May 5, 2005
Structuring and Rating Cash-flow CDOs with Rating Transition Matrices
by Domenico Picone of the Cass Business School - London
(585K PDF) -- 60 pages -- May 5, 2005
Comparing BET and Copulas for Cash Flows CDO's
by Joăo Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Luc Leonard of Dexia Group
Thomas Alderweireld of Dexia Group
Tony Van Gestel of Dexia Group
(88K PDF) –- 26 pages -- January 31, 2005
An Evaluation of the Base Correlation Framework for Synthetic CDOs
by Sřren Willemann of the Aarhus School of Business
(334K PDF) -- 25 pages -- December 20, 2004
CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004
A Note on Efficient Pricing and Risk Calculation of Credit Basket Products
by Hans-Juergen Brasch of TD Securities
(181K PDF) -- 16 pages -- November 2004
On Rating Cash Flow CDO's using the BET Technique
by Joăo Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Ronny Langendries of Dexia Group
Luc Leonard of Dexia Group
Tony Van Gestel of Dexia Group
(92K PDF) -- 26 pages -- October 8, 2004
Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Loan Obligations
by Günter Franke of the Konstanz Universitaet, and
Jan Pieter Krahnen of the Goethe-Universitaet and CEPR
(181K PDF) -- 16 pages -- October 10, 2004
Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(287K PDF) -- 40 pages -- September 2004
Composite Basket Model
by Pedro A.C. Tavares of Merrill Lynch,
Thu-Uyen Nguyen of Merrill Lynch,
Alexander Chapovsky of Merrill Lynch, and
Igor Vaysburd of Merrill Lynch
(204K PDF) -- 4 pages -- July 21, 2004
CDO Squared: A Closer Look at Correlation
by Matthias Neugebauer of Fitch Ratings,
Richard Gambel of Fitch Ratings,
Jill Zelter of Fitch Ratings,
Richard Hrvatin of Fitch Ratings, and
Mike Gerity of Fitch Ratings
(287K PDF) -- 11 pages -- February 2, 2004
CDO Modeling: Techniques, Examples and Applications
by Christian Bluhm of HypoVereinsbank
(635K PDF) -- 37 pages -- December 10, 2003
Pricing Multi-Name Default Swaps with Counterparty Risk
by Roy Mashal of Lehman Brothers Inc., and
Marco Naldi of Lehman Brothers Inc.
(715K PDF) -- 18 pages -- November 19, 2003
Copula Functions and their Application in Pricing and Risk Managing Multiame Credit Derivative Products
by Stefano S. Galiani of King's College London
(1,098K PDF) -- 68 pages -- September 4, 2003
Basket Default Swaps, CDO's and Factor Copulas
by Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Jon Gregory of BNP Paribas
(293K PDF) -- 21 pages -- September 2003
Model Risk in Copula Based Default Pricing Models
by Heinrich Gennheimer of the University of Zurich & NCCR FINRISK
(1,056K PDF) -– 45 pages -- November 2002
Collateralised Debt Obligations
by Domenico Picone of the City University Business School, London & the Royal Bank of Scotland
(994K PDF) -- 42 pages -- September 2002
On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002
Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
by Roy Mashal of the Columbia Business School, and
Marco Naldi of Lehman Brothers, Inc.
(506K PDF) -- 28 pages -- January 7, 2002
Risk and Valuation of Collateralized Debt Obligations
by Darrell Duffie of Stanford University, and
Nicolae Gârleanu of Stanford University
(504K PDF) -- 46 pages -- September 23, 2001
Modelling Dependence for Credit Derivatives with Copulas
by Jean-Frédéric Jouanin of Credit Lyonnais,
Gregory Rapuch of Credit Lyonnais,
Gaël Riboulet of Credit Lyonnais, and
Thierry Roncalli of Credit Lyonnais
(3,010K PDF) -- 23 pages -- August 25, 2001
Additional References (sorted by author)
Andersen, Leif B.G. and Jakob Sidenius, "CDO Pricing with Factor Models: Survey and Comments", Journal of Credit Risk, Vol. 1, No. 3, (Summer 2005), pp. 71-88. [Abstract]
Bluhm, Christian and Ludger Overbeck, "Semi-analytic Approaches to Collateralized Debt Obligation Modelling", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 233-255. [Abstract]
 | A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation
by Richard Bookstaber
John Wiley & Sons, (April 17, 2007), Hardcover, 288 pages |
 | Developments in Collateralized Debt Obligations: New Products and Insights
by Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi, Rebecca Manning
Wiley, (May 4, 2007), Hardcover, 287 pages |
 | Collateralized Debt Obligations & Structured Finance
by Janet M. Tavakoli, John Wiley & Sons, (August 2003), Hardcover, 356 pages |
 | International Political Risk Management: Meeting the Needs of the Present, Anticipating the Challenges of the Future
by Theodore H. Moran (Editor), Gerald T. West (Editor), Keith Martin (Editor)
World Bank Publications, (October 19, 2007), Paperback, 296 pages |
