Presentation: Jump Driven Prepayment and Default Models for LCDS, ABS and portfolios of LCDSs
Workshop: Kick-off-Workshop
Time: Tue, September 09, 2008, 09:30-10:20
Speaker: Wim Schoutens
Abstract
- Prepayment and default modeling using Levy processes from ABS to LCDX
- One factor default models: Levy vs Gaussian base correlation
- Jump driven prepayment models
- Model risk in assessing default probabilities and ratings of ABSs LCDS and LCDX modeling
Presentation slides (pdf, 383 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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