10
The Financial Crisis and the Credit Derivatives Pricing Models
Chapter Outline
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
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