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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
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)

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