Advanced credit portfolio modeling and CDO pricing
4 E. Eberlein, R. Frey, E. A. von Hammerstein reference portfolio SPV CDS 1 CDS 2... CDS N CDS premiums CDS default payments protection fee tranche default payments Liabilities (CDO tranches) 6-9% mezzanine equity 0-3% 12-22% super-senior junior ......