This paper uses an HJM model to price TIPS and related derivative securities. First, using
the market prices of TIPS and ordinary US Treasury securities, both the real and nominal …

Although volatility is the key parameter for plain vanilla option pricing, many kinds of credit
derivatives and exotic options involve multiple risk factors, so correlations must also be …

We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove
results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous …

At least four hypotheses, none mutually exclusive, have emerged to explain the origins of
the financial crisis that began in the United States in 2007:(1) Managers of financial …

By examining the impact of an increase in correlation among underlying assets on the value
of a collateralized debt obligation (CDO) equity tranche, we show that, contrary to general …

Default risk has always been a matter of importance for financial managers and scholars. In
this paper we apply an intensity-based approach for default estimation with a software …

We examine general copula models for the valuation of CDOs and provide explicit formulas
for the sensitivities with respect to spreads. In the case of Gaussian copulas with non …

次贷危机引发了人们对公允价值计量的争论. 文章在解析公允价值概念和内涵的基础上,
分析了公允价值成为社会各界争论对象的原因, 提出了公允价值治理的必要性; …

We introduce a new model to study the behavior of a portfolio of defaultable assets. We refer
to this model as the Gaussian-Poisson model. It builds upon one-factor Gaussian copula …

The role of the Gaussian copula model, whose importance grew after the work of Li, has well‐
known deficiencies and has been criticized in the technical literature as well as in the …