English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

This paper introduces a new semi-parametric approach to the pricing and riskmanagement of bespoke CDO tranches, with a particular attention to bespokesthat need to be mapped onto more than one reference portfolio. The only userinput in our framework is a multi-factor model (a "prior" model hereafter) forindex portfolios, such as CDX.NA.IG or iTraxx Europe, that are chosen asbenchmark securities for the pricing of a given bespoke CDO. Parameters of theprior model are fixed, and not tuned to match prices of benchmark indextranches. Instead, our calibration procedure amounts to a proper reweighteningof the prior measure using the Minimum Cross Entropy method. As the latterproblem reduces to convex optimization in a low dimensional space, our model iscomputationally efficient. Both the static (one-period) and dynamic versions ofthe model are presented. The latter can be used for pricing and risk managementof more exotic instruments referencing bespoke portfolios, such asforward-starting tranches or tranche options, and for calculation of creditvaluation adjustment (CVA) for bespoke tranches.

Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives