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Questions tagged [structured-credit]

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1answer
52 views

Proper maturity in the Merton's model

I am working on a credit rating project using Merton's model. Basically it adopts Black-Scholes that equity value can be viewed as a call option with a strike price of face value of debts. Since the ...
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0answers
22 views

Modelling Specialised Lending deals

This question by itself is less a quant question but it has impact on the quantitative model to use. In 2006 CEBS gudilines we find a definition similar to this: Specialised Lending (SP) is a sub-...
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3answers
229 views

How are referenced asset gains routed in a credit derivative?

Lets assume for the sake of the example that we are talking about a Total Return Swap. The flow diagram is something like this. Lets assume the Payer in this instance is a Hedge Fund, and the ...
4
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2answers
159 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
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1answer
206 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 ...
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1answer
564 views

Correlation skew mapping

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