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Table Of Contents

Introduction
CDOs pricing
2.1 CDO tranches and indices: iTraxx, CDX
2.2 Pricing Models overview
2.2.1 Copulas
2.2.2 Factor models
2.2.4 Algorithms and fast Fourier transform for CDOs
Correlation skew
3.1 What is the correlation skew?
3.3 Limitations of implied correlation and base
4.1 Factor models using alternative distribu-
4.1.1 Normal inverse Gaussian distributions (NIG)
4.1.2 α-stable distributions
4.2 Stochastic correlation
4.3 Local correlation
4.3.1 Random factor loadings
Numerical results
5.1 Pricing iTraxx with different models
5.2 Comparison between the different meth-
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A Review of CDO Pricing

A Review of CDO Pricing

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Published by sdgm1

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Published by: sdgm1 on Feb 08, 2012
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02/08/2012

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