Pricing CDO using Gaussian copula model

[Wallstyouth]

Any of the current or alumni MFE students @ Baruch is this topic covered in any of your courses?

"Pricing CDO using Gaussian copula model" ?

 

[John]

Any of the current or alumni MFE students @ Baruch is this topic covered in any of your courses?

"Pricing CDO using Gaussian copula model" ?

this topic is covered in the MTH 9845 (risk mgt course/Prof Ciresi) and MTH 9871 (Advanced Computational/Prof Neftci) from a pricing/computational perspective applied to credit index (e.g. iTraxx). Professor Raynes also touched upon this subject in his second structured finance course although his focus is more on the cash ABS instruments.

 

[Tigga]

Google for "CDOPricingGaussianCopula" found this spreadsheet.

 

[naeron]

This model overestimates the value of the correalation implied from the market spreads. JPM came up with a new model but it is a very good model for the first time use. Thanks a lot for it. I am going to spend my time over next week to tweak the model