When the subprime crisis started to emerge, collateralized products based on credit default
swap (CDS) exposures combined with security features seemed to be a more rational …

This article is an extract of a more complete and detailed work on a specific class of credit
derivatives, namely Collateralized Debt Obligations made out of Collateralized Debt …

Considering the recent subprime crisis, the demand for collateralized products with less
exposure to the weak credit market is increasing. Hence leading investment banks aim at …

This paper provides a Market Model which implies a dynamic for standardized CDS index
tranche spreads, ie tranches which securitise CDS index series and dispose of predefined …

… Jochen DORN … DORN J. Index Tranche Market Model … DORN J. Index Tranche Market Model …

This paper provides a multi-period extension of the Market Model for forward-start options
written on standardized CDS Index Tranches, presented by J DORN. Standardized CDS Index …

This paper provides a multi-period extension of the Market Model for forward-start options
written on standardized CDS Index Tranches, presented by DORN (2007). Standardized CDS …

This paper provides a Market Model which implies a dynamics for standardized CDS index
tranche spreads, ie tranches which securitise CDS index series and dispose of predefined …

This article aims to shed a light on innovative fund management concepts which emerged
after the crisis. Two main strategies seem to dominate the financial turmoil: Absolute return …

When the subprime crisis started to emerge, collateralized products based on Credit Default
Swap (CDS) exposures combined with security features seemed to be a more rational …