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Current status of credit modeling
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When
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2.00pm on Friday 7th December
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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Alex Lipton
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From
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Merrill Lynch
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Abstract
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In this talk we present a comparative analysis of several models for pricing of synthetic and asset backed CDOs. In particular, we discuss recently developed static and dynamic pricing models for standardized CDX and iTRAXX indices and bespoke synthetic CDO tranches. We also briefly touch upon the current situation with asset backed CDOs in general, and sub-prime mortgage backed CDOs in particular, and present some analytical results for standardized ABX and TABX indices.
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For further information
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Thomas Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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