We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove
results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous …

This article clarifies and contests the common market belief that synthetic CDO equity is long
correlation risk, ie as correlation increases equity spreads decline. In fact, the impact of …

Traditional approaches to modeling economic capital, credit‐VaR (Value‐at‐Risk), or
structured instruments whose underlying collateral is composed of structured instruments …

This article explores strategies used for hedging credit default swap (CDS) risks. By
analyzing the AIG financial crisis in 2008, the authors increase their understanding of the …

We examine general copula models for the valuation of CDOs and provide explicit formulas
for the sensitivities with respect to spreads. In the case of Gaussian copulas with non …

The importance of global securitized debt markets can be gauged by their size, which have
been estimated to be about $10.4 trillion as of early 2018 (Morgan Stanley 2018). Of this …

We introduce a new model to study the behavior of a portfolio of defaultable assets. We refer
to this model as the Gaussian-Poisson model. It builds upon one-factor Gaussian copula …

The role of the Gaussian copula model, whose importance grew after the work of Li, has well‐
known deficiencies and has been criticized in the technical literature as well as in the …