JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS

被引：4
|
作者：
Epple, Friedel [1 ]
Morgan, Sam [1 ]
Schloegl, Lutz [1 ]
机构：
[1] Lehman Bros, 25 Bank St, London E14 5LE, England
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2007年 / 10卷 / 04期
关键词：
CDOs; correlation modelling; path-dependent portfolio derivatives;
D O I：
10.1142/S0219024907004354
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The pricing of exotic portfolio products, e.g. path-dependent CDO tranches, relies on the joint probability distribution of portfolio losses at different time horizons. We discuss a range of methods to construct the joint distribution in a way that is consistent with market prices of vanilla CDO tranches. As an example, we show how our loss-linking methods provide estimates for the breakeven spreads of forward-starting tranches.
引用
收藏
页码：733 / 748
页数：16
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