TY  - CHAP
AB  - This article describes a new approach to compute values and sensitivities of synthetic collateralized debt obligation (CDO) tranches in the market-standard, single-factor, Gaussian copula model with base correlation. We introduce a novel decomposition of the conditional expected capped portfolio loss process into “intrinsic value” and “time value” components, derive a closed form solution for the intrinsic value, and describe a very efficient computational scheme for the time value, taking advantage of a curious time stability of this quantity.
VL  - 22
SN  - 978-1-84855-196-1, 978-1-84855-197-8/0731-9053
DO  - 10.1016/S0731-9053(08)22001-3
UR  - https://doi.org/10.1016/S0731-9053(08)22001-3
AU  - Flesaker Bjorn
ED  - Jean-Pierre Fouque
ED  - Thomas B. Fomby
ED  - Knut Solna
PY  - 2008
Y1  - 2008/01/01
TI  - Fast solution of the Gaussian copula model
T2  - Econometrics and Risk Management
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 1
EP  - 13
Y2  - 2024/04/25
ER  -