Jakob Sidenius

Independent

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

A New Framework for Dynamic Credit Portfolio Loss Modelling

International Journal of Theoretical and Applied Finance, Vol. 11, No. 2, pp. 163-197, 2008
Posted: 30 Nov 2009
Jakob Sidenius, Vladimir Piterbarg and Leif B. G. Andersen
Independent, NatWest MarketsImperial College London and Bank of America

Abstract:

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Dynamic model of CDOs, dynamic copula, conditional Markov process, options on tranches, option on CDO tranche, portfolio loss, SPA model, leveraged super-senior

2.

Cdo Pricing with Factor Models: Survey and Comments

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 13 Nov 2005
Leif B. G. Andersen and Jakob Sidenius
Bank of America and Independent

Abstract:

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CDOs, CDO models, calibration against CDO market data, nase correlation skews, model-independent approaches

3.

Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings

Posted: 26 Apr 2005
Leif B. G. Andersen and Jakob Sidenius
Bank of America and Independent

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Gaussian copula, copulas, portfolio default loss, copula models, random factor loadings