Implied Loss Distribution, Term Structure of Correlation Skew and ...

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Base Correlation and Index Level 0.8 54 0.7 53 0.6 52 51 0.5 0.4 0.3 50 49 48 0-3 Base Cor r 3-7 Base Cor r 7-10 Base Cor r 10-15 Base Cor r 15-30 Base Cor r Index Level 0.2 47 0.1 46 0 Mar ch 19, 2005 Mar ch 21, 2005 Mar ch 23, 2005 Mar ch 25, 2005 Mar ch 27, 2005 Mar ch 29, 2005 Mar ch 31, 2005 Apr i l 2, 2005 Apr i l 4, 2005 Apr i l 6, 2005 45 12
Various Extension of Basic Gaussian Copula Model Problem: How to price bespoke portfolio? Various mapping approaches, and various Gaussian extensions Student, Marshal-Olkin, Negative Inverse Gaussian Gaussian Extension: Andersen and Sidenus Composite Basket Model Gaussian Mixture 13
Page 1 and 2: Implied Loss Distribution, Term Str
Page 3 and 4: Some of the latest Credit Portfolio
Page 5 and 6: Default Correlation: The Joy of Cop
Page 7 and 8: How do we simulate the default time
Page 9 and 10: Excess Loss Distribution Excess Los
Page 11: Base Correlation For each CDO tr
Page 15 and 16: Mixture Copula Function: Discrete C
Page 17 and 18: Implied Loss Distribution An equity
Page 19 and 20: Comparison of Leverage Ratios Compa
Page 21 and 22: Term Structure of Base Correlation
Page 23 and 24: Dynamic Models Based on Portfolio L

Implied Loss Distribution, Term Structure of Correlation Skew and ...

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