Published November 29, 2022 | Version v2
Presentation Open

Credit Pricing Model Calibration

Creators

Description

A calibration procedures of the Default Correlation model is presented. There are two principal modifications.  The first is to change the manner in which asset correlations are converted into default correlations, the second is a small change in the algorithm by which the probability equations of the model are solved.  These changes are considered appropriate, and are necessary for the model to be considered robust enough to underpin the structuring and trading of complex credit contingent instruments.

Notes

https://ia904705.us.archive.org/20/items/hw-vol/HwVol.pdf

Files

CreditModCorr.pdf

Files (212.3 kB)

Name Size Download all
md5:ea043c93f58f4f9490e6151fb6f7c4ee
212.3 kB Preview Download