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Pricing CDOs with a smile: the local correlation approach, Paris, 11 sept. 2006 |
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Saturday, 04 November 2006 |
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Le Petit Déjeuner de la Finance aura lieu le Mercredi 11 Septembre 2006 de 8h à 9h30 sur le thème
Pricing CDOs with a smile: the local correlation approach
présenté par Julien TURCAbstract:
The local correlation model is an extension of the traditional one-factor Gaussian model. It makes correlation a function of the economy. In the
large pool framework, there is a simple and approximate formula for deducing the local correlation from the base correlation skew. We present
also a more robust process for fitting the local correlation curve directly to market data. Incidentally, we show that the base correlation skew is not
a straight line, at least under within this framework. On low strikes, it must have the shape of a smile rather than that of a skew.
About the speaker:
Julien TURC is a Senior Strategist in the Quantitative Strategy group at Société Générale Corporate & Investment Banking. He joined Société
Générale in 2001. Prior to that, Julien worked as a Quantitative Analyst on the Credit Derivatives desk at IXIS CIB. Julien graduated from
Ecole Polytechnique (Palaiseau) and ENSAE (Malakoff). He has been a lecturer in the Masters program in Probability and Finance at Paris VI University for several years.
Lieu: Maison des Polytechniciens
12 rue de Poitiers 75007 Paris.
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