European Institute for Statistics, Probability, Stochastic Operations Research
and their Applications

About | Research | Events | People | Reports | Alumni | ContactHome

EIB project

All People  involved in MRM




Credit derivatives and their risk management

It is becoming increasingly difficult to calculate prices of credit derivatives, e.g. Collateralized Debt Obligations (CDO's), with existing 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 MRM researchers to a variety of credit derivatives, such as Credit Default Swaps, Constant Maturity Swaps, CDO-squares and other structured credit products.

Back to MRM mainpage




  P.O. Box 513, 5600 MB  Eindhoven, The Netherlands
tel. +31 40 2478100  fax +31 40 2478190  
  e-mail: info@eurandom.tue.nl