This paper investigates the potential for extreme co-movements between financial assets by
directly testing the underlying dependence structure. In particular, a t-dependence structure, …

In recent years, credit derivatives have become the main tool for transferring and hedging
credit risk. The credit derivatives market has grown rapidly both in volume and in the breadth of …

The dependence structure of asset returns lies at the heart of a class of models that is
widely employed for the valuation of multi-name credit derivatives. In this work, we study the …

We present a simple and general methodology for pricing counterparty risk in multiname
default swaps, such as nth-to-default baskets and portfolio loss tranches. The main purpose of …

Implied correlation is increasingly used for relative value considerations when comparing
alternative investments in synthetic CDO tranches. Here we show that, by neglecting the …

The aim of this paper is to explain the risks that are associated with the standard application
of risk-neutral pricing for multi-name credit derivatives and especially to CDOs. Until the …

In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct …

We introduce a simple algorithm for the fast valuation of" reset tranches," a class of default-path-dependent
structures that includes forward-starting contracts and subordination/leverage …

The dependence structure of asset returns lies at the heart of a class of models that is widely
employed for the valuation of multi-name credit derivatives. Using a statistical methodology …