Friday, April 25, 2008

CDO Loss Term-structure Expansions in a Fatal-Shock Framework

by Laurent Veilex of Credit-Suisse

Abstract: We present a numerical expansion of the forward loss of CDO tranches in the case of fatal-Shock models (also called Marshall- Olkin). The method is very fast and can be compared with Saddle point and Recursion methods for factor copulas. The benefit of the framework is to allow a term structure of spreads and correlation with a natural understanding of the correlation structure.

Download paper (1,067K PDF) 28 pages

No comments: