Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure

Beyond the gaussian copula: Stochastic and local correlation

We consider stochastic correlation models that account for the correlation smile in the pricing of synthetic CDO tranches. These can be viewed as tractable extensions of the one factor Gaussian copula model. We analyse these models through their conditional default probability distributions. We also givesomeexamplesofusingathreestates stochastic correlation model to fit the market and discuss some risk management issues. We provide some analytical computations within the large homogeneous portfolio approximation. Eventually, we compare the stochastic correlation model with another popular state dependent correlation model, namely the random factor loading model. JEL Classification: C 31, G 13 Key words: default risk, CDOs, correlation smile, factor copulas, stochastic correlation, local correlation

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

International audienc

Beyond the Gaussian copula: stochastic and local correlation

International audienc

Prediction of Self-Compacting Concrete homogeneity by ultrasonic

To evaluate the filling capacity of self-compacting concrete SCC without segregation, a technique based on the ultrasonic velocity has been adapted in order to estimate homogeneity and quality of concrete at very young age. To monitor local change in ultrasonic velocity, the process consists of using a pair of transducers at different depths of the concrete. The aim of our experimental study was to establish the relationship between ultrasonic velocity measured by sensors of 50 mm diameter and of 54 kHz frequency, and homogeneity of fresh concrete. Measurements of wave propagation velocity are carried out every half an hour on a vertical channel whose dimensions (in mm) are 160 × 160 × 700. These measurements have been determined with three modes of transmission: direct, semi-direct and indirect. The different mixtures were prepared with the same Water/Binder ratio (W/B) of 0.28. The amount of binder is in the order of 520 kg/m3. Comparison between ultrasonic velocity and empirical tests such as sieve stability test, slump flow test, air content, and compressive strength, at 1 day, shows that the ultrasonic velocity can also be very useful to evaluate homogeneity and quality of fresh concrete

New approach to determine the plastic viscosity of self-compacting concrete

International audienceThe rheology of concrete is best measured with the use of a rheometer. The slump flow test gives a good indication of the flowability of the mixture and is therefore still used extensively to judge the workability of SCC mixtures. However, this test presents some defects. The objective of this paper is to develop a new methodology for measuring the workability of a SCC. In this article, we have proposed a correlation between the plastic viscosity of concrete, the time and the characteristics of the flow final profile from the V-funnel coupled to a Plexiglas horizontal channel. The proposed approach, verified by experimental results, represents a simple, economical and usable tool on building site, and it allows to characterize rheologically the SCC from its flow. The comparison between our approach and the experimental values of the plastic viscosity shows that, in a laboratory or on site, instead of using a rheometer we can use our approach to characterize the rheological behavior of a SCC