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

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Dynamic Models Based on Portfolio Loss

To model total portfolio loss only

Using either short rate type model for instantaneous loss

ratio or forward rate model for forward loss ratio

Functional form, senior tranche, calibration issues

Sensitivities, going from index to bespoke

Ultimate Model: replication Model?

Mean Square Optimal Hedges Using Higher Order Moments

Loss-Grid Approach Strike Direction Time Direction 22

Dynamic Models Based on Portfolio Loss To model total portfolio loss only Using either short rate type model for instantaneous loss ratio or forward rate model for forward loss ratio Functional form, senior tranche, calibration issues Sensitivities, going from index to bespoke Ultimate Model: replication Model? 23

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 and 12: Base Correlation For each CDO tr
Page 13 and 14: Various Extension of Basic Gaussian
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: Term Structure of Base Correlation

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

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