IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v10y2007i04ns0219024907004354.html
   My bibliography  Save this article

Joint Distributions Of Portfolio Losses And Exotic Portfolio Products

Author

Listed:
  • FRIEDEL EPPLE

    (Lehman Brothers, 25 Bank Street, London E14 5LE, United Kingdom)

  • SAM MORGAN

    (Lehman Brothers, 25 Bank Street, London E14 5LE, United Kingdom)

  • LUTZ SCHLOEGL

    (Lehman Brothers, 25 Bank Street, London E14 5LE, United Kingdom)

Abstract

The pricing of exotic portfolio products, e.g. path-dependent CDO tranches, relies on the joint probability distribution of portfolio losses at different time horizons. We discuss a range of methods to construct the joint distribution in a way that is consistent with market prices of vanilla CDO tranches. As an example, we show how our loss-linking methods provide estimates for the breakeven spreads of forward-starting tranches. .

Suggested Citation

  • Friedel Epple & Sam Morgan & Lutz Schloegl, 2007. "Joint Distributions Of Portfolio Losses And Exotic Portfolio Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 733-748.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:04:n:s0219024907004354
    DOI: 10.1142/S0219024907004354
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024907004354
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024907004354?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Areski Cousin & Diana Dorobantu & Didier Rullière, 2013. "An extension of Davis and Lo's contagion model," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.
    2. Yadong Li, 2010. "A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery," Papers 1004.3758, arXiv.org.
    3. Yadong Li, 2010. "Consistent Valuation of Bespoke CDO Tranches," Papers 1004.1758, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:10:y:2007:i:04:n:s0219024907004354. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.