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- W3125143847 abstract "Models with systematic factors are popular in the modeling of CDOs, mainly owing to their simplicity and tractability. In this small note we provide a general framework which we use to survey a number of CDO models that have appeared in the literature so far. We suggest extensions and also briefly discuss a select number of issues with factor models, ranging from calibration against CDO market data (ie, base correlation skews) to credit spread hedging and maturity extrapolation. We highlight a number of inherent limitations of factor models and also discuss certain idiosyncracies of popular model-independent approaches to computation of spread hedges." @default.
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- W3125143847 date "2005-01-01" @default.
- W3125143847 modified "2023-09-27" @default.
- W3125143847 title "CDO pricing with factor models: survey and comments" @default.
- W3125143847 doi "https://doi.org/10.21314/jcr.2005.019" @default.
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