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- W3123157054 abstract "The synthetic collateralized debt obligation (CDO) market has, over the last year, seen a significant increase in liquidity and transparency. The availability of published prices such as TracX and iBoxx tranches permits the calibration of model parameters, which was not achievable a year ago. This paper details what we believe has become the market standard approach in CDO valuation. The valuation model is introduced and analysed in depth to develop a better practical understanding of its use and the implications of parameter selection and calibration. In particular, we examine the idea that correlation within a copula model can be seen to be an equivalent measure to volatility in a standard B&S option framework and, correspondingly, we seek to calibrate smile and skew." @default.
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- W3123157054 date "2005-07-01" @default.
- W3123157054 modified "2023-09-25" @default.
- W3123157054 title "Correlation at First Sight" @default.
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- W3123157054 doi "https://doi.org/10.1111/j.0391-5026.2005.00148.x" @default.
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