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/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

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

Zendy Tools

Zendy Open

We consider a model where each company’s asset value follows a jump-diusion process, and is connected with other companies via global factors. Motivated by ideas in Bush et al. (2011), where the joint density of asset values is evolved in a large basket approximation, we develop an algorithm for the ecient estimation of CDO index and tranche spreads consistent with underlying CDSs, through a nite dierence simulation of the resulting SPDE. We verify the validity of this approximation numerically by comparison to results obtained by direct Monte Carlo simulation of the basket constituents. A calibration exercise assesses the exibility of the model and its extensions to match CDO spreads from pre-crisis and crisis periods.

Numerical valuation of basket credit derivatives in structural jump-diffusion models