Dr. Luis Reyna

We discuss the valuation models in Credit Derivatives for Correlation Products. This presentation is going to focus on the history of the product starting from Collateralized Bond Obligations (CBO's) all the way to options on Index Tranche Products. The valuation methodologies using Copula based Models are going to be presented and discussed in detail. The focus, however, is going to be on limitations of the current methodologies and on open problems.