The Financial Crisis and the Credit Derivatives Pricing Models
10.2 Brief Description of Credit Derivatives
10.3 CDO Pricing Models and the Financial Crisis
10.3.1 CDO pricing and correlation
10.3.1.1 Failure of the “compound correlation” model
10.3.1.2 Failures of the “basis correlation” model
10.3.2 CDO pricing models and ratings
10.3.3 CDO pricing models and risk management
10.3.3.1 Studies on hedging efficiency
10.3.3.2 Towards a concept of structural stability
10.3.4 Failure of pricing models has another origin: the calibration procedure
Get Rethinking Valuation and Pricing Models now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.