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3
votes
1answer
76 views

CDS - Accumulated Default Risk?

Say I issue insurance contracts covering fire damage in personal households. Fires occur with a probability of $x$% in a household (and they obviously occur independently from one another). If the ...
4
votes
1answer
163 views

Any example code implementing the Shelton CDO 'Back To Normal' Paper?

I'm having a hard time getting my expected loss calculations to tie out with the standard recursion method when implementing the proxy distribution algorithm described by the Back To Normal CDO paper ...
6
votes
1answer
381 views

Correlation skew mapping

What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio?