Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
نویسندگان
چکیده
In this paper, we review recent advances in pricing tranches of a collateralized debt obligations and credit default swap indexes: one factor Gaussian copula model and its extensions, the structural model, and the loss process model. Then, we propose using heavy-tailed functions in future research. As background, we provide a brief explanation of collateralized debt obligations, credit default swaps, and index tranches.
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