This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool of the CDO has not exceeded x at maturity T , and zero else. Necessary and sufficient conditions on the stochastic term structur...

This essay compares the COVID-19 crisis in Latin America with two long-lasting crises (the Great Depression and debt crisis) more recent shorter ones 1997 Asian 2008–2009 North Atlantic crisis). The analysis indicates that almost all external shocks, whether associated financing, terms of trade, trade volumes or remittances, have been weaker during current crisis. What has mainly lacking is int...

This paper aims to explore the potential role of the GCC states on their way to recovery, with a special reference to potential impact of remittances on their macroeconomic indicators. In effect, this study attempts to investigate the direction of causality between main macro indicators and remittances, and to identify whether the latter helps or hinders economic recovery of the GCC states. In ...

During the past decade, a structured financial product called “Collateralized Debt Obligation (CDO)” has been drawing much attention of researchers and practitioners, and is now traded with growing liquidity. However, the approach for CDO pricing has been rather limited in the literature, largely because it is necessary to evaluate the time dependent distribution of the underlying cumulative lo...

any of the myriad problems in the u.s. mortgage market could have been contained, but together they caused a crisis that spread across the globe T HE causes of the crisis in subprime mortgages have become clear. They started with poor underwriting practices, which became legion. But damage was propagated at each stage of the complicated process in which a risky home loan was originated, then be...

Asset-backed securitization (ABS) has become a viable and increasingly attractive risk management and refinancing method either as a standalone form of structured finance or as securitized debt in Collateralized Debt Obligations (CDO). However, the absence of industry standardization has prevented rising investment demand from translating into market liquidity comparable to traditional fixed in...

Correlation-dependent derivatives, such as Asset-Backed Securities (ABS) and Collateralized Debt Obligations (CDO), have grown rapidly. Factor models in the conditional independence framework are widely used in practice to capture the correlated default events of the underlying obligors. An essential part of these models is the accurate and efficient evaluation of the expected loss of the speci...