Credit derivatives and their risk management

Prices of credit derivatives, for example, Collateralized Debt Obligations (CDOs), can often not anymore be calculated from models. This leads to very serious situations where existing credit portfolios cannot be valued, which leads to uncertainty on a global scale about banks assets. The project will develop and investigate new models and methods for credit derivatives. The new models will be tested on recent CDO data and further extended by MVR researchers to a variety of credit derivatives, such as Credit Default Swaps, Constant Maturity Swaps, CDO-squares and other structured credit products.

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