One Factor Models for the ABS Correlation Market: Pricing TABX Tranches

The Credit Crisis as a Problem in the Sociology of Knowledge

“…The notion of "heterarchy" is of course the inheritor of a long-standing strand of work in organizational sociology, stretching back at least to the "organic management" identified by Burns and Stalker (1961) as suitable for fastchanging environments. 64 For example, while there were around a dozen textbooks of corporate CDO correlation modeling, and hundreds of publicly available technical reports and research papers stretching back at least to 1996, there was no textbook of the equivalent practices in regard to ABS CDOs, and I have been able to find only three publicly available research papers, all from the end of the period discussed here and by the same two researchers from the Franco-Belgian Bank, Dexia (e.g., Garcia and Goosens 2008).…”

Valuing Retail Credit Tranches with Structural, Double Mixture Models

“…The piecewise constant interest rates are calibrated on each corresponding date, from the US treasury yield rates with the following maturities: 1 month, 3 months, 6 months, 1 year, 2 years, 3 years, 5 years, 7 years, 10 years, 20 years and 30 years. As in Garcia and Goossens (), we set the recovery rate to zero. Table reports the results of our model calibration procedures.…”