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The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis

The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis - PowerPoint Presentation

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Uploaded On 2018-11-16

The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis - PPT Presentation

Outline Root of Subprime mortgage crisis Securitization Gaussian copula approach to CDO pricing Drawbacks of copulabased model in credit risk Alternative approach to value CDO Root of Subprime mortgage crisis ID: 729731

model default underlying copula default model copula underlying cdo correlation factor defaults gaussian portfolio tranche approach assets mortgage time

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