b) Investing on Securitization of Brazilian Assets
c) Capital Structuring of Credit Portfolios
c) Trading strategies in general
d) Trading strategies on standardised credit indices (CDX / iTraxx, XOver, ABX / TABX)
e) Credit Portfolio Management of very large credit portfolios.
Here you will find our recent work on correlation mapping and on the impact of collateral asset correlation on tranche correlations.
This paper brings up several points: a) behind the credit crunch is the Securitization business model of large financial institutions; b) this model has been key for the enormous growth we have seen from 2002 to mid 2007; c) it implies however the increase of systemic risk to the portfolios of investors in particular and to the whole market in general; d) this risk needs to be managed dynamically; e) the instruments to manage it are the standardised credit indices; f) those indices represent an enormous technological innovation; g) it is not the corp CDO's that caused the credit crunch (everybody knew and understood the information behind iTraxx / CDX / XOver) but the CDO of ABS's (very few were following ABX / TABX (important for mortgages) and more recently LevX (important for CLO's and LBO's)); h) by getting a spread from a rating one assumes liquidity; i) liquidity can only be available in standardised credit indices. The standardised credit indices are vital to the securitization business model; j) the cost of capital should count for the technological innovation inherent to the banking activity.In case of problems in downloading the file click here.
In a course we gave in Dec 2006 by Risk Training in London we showed that we had anticipated the market turmoil that began in Jul 2007 (see slides 14, 21 and 22). The anticipation of this event has been the drive of our work since Jun 2002 when we began building a parallel system for the dynamic management of the ECAP of a financial institution. We worked on a prototype first build in VB and we then moved on to work on the standardised credit indices. Those indices are vital to the management of the ECAP of a financial institution that uses securitization as key factor in its business activity. In case of problems in downloading the file click here.
a) Financial Times
b) Wall Street Journal
c) CNBC
d) Bloomberg
e) MarkIt: a company dedicated to pricing and indices of Cred Der
f) Sacred Heart University
g) Brazil Means Business
h) DefaultRisk.com
This paper is a first version to complement the TABX paper below by using MC simulation single and multifactor (with either flat or a correlation scenario). Capital restructuring is the forthcoming step. In case of problems in downloading the file click here.
In this paper we look at 1-factor models for TABX both under the gaussian copula and the Levy base correlation framework. In case of problems in downloading the file click here.
If you have interest in our work please contact us via the emails or tel.'s available in our CV's. We will be very happy to answer your questions.
In this paper we evaluate the Gap Risk in CPPI and CPDO structures and we show the model risks involved in it. Additionally we do it under jump processes. In case of problems click here.
This a first version of a work we had began doing before and is currently being updated. It is all about the results of a historical analysis we had done comparing Levy processes with Gaussian copulas..
In this paper we show a better way to interpolate iTraxx/CDX indices. Instead of going to the BC curve we interpolate on the Expected Loss directly.
This a a working paper version on the Levy Base correlation model being used for pricing standardised indexes of credit derivatives. This is done together with Vika Masol and Wim Schoutens.
This paper we use HW and BK to price credit spread options. The paper has been published in the Internacional Journal of Applied and Theoretical Finance back in 2003, when Joao did not have yet the pleasure to work with Serge Goossens..
In this paper we explain why the Generalized Gauss Laguerre quadrature is essential for the accuracy of the Levy Base Correlation algorithm.