**Workshop
**

**"Handling and modelling of asset backed securities"**

October 22-24, 2008,

EURANDOM, Eindhoven, The Netherlands

#### ABSTRACTS

**Xinzheng Huang (Universiteit Delft)**

**Generalized beta regression models for random loss-given-default **

We propose a new framework for modeling systematic risk in Loss-Given-Default
(LGD) in the context of credit portfolio losses. The class of models is very
flexible and accommodates well skewness and heteroscedastic errors. The
quantities in the models have simple economic interpretation. Inference of
models in this framework can be unified. Moreover, it allows efficient numerical
procedures, such as the normal approximation and the saddlepoint approximation,
to calculate the portfolio loss distribution, Value at Risk (VaR) and Expected
Shortfall (ES).

**Henrik Jönsson
(EURANDOM)**

**Advanced Models for Pricing Constant Maturity Credit Default Swaps **

Abstract: In the talk we take a firm value approach to model defaults based
on single sided jump models and we discuss how we can use these models to price
Constant Maturity Credit Default Swaps (CMCDS). The CMCDS offers default
protection in exchange for a floating premium which is periodically reset and
indexed to the market spread on a CDS with constant maturity tenor written on
the same reference name. By setting up a firm value model based on single sided
Lévy models we can generate dynamic spreads for the reference CDS. The valuation
of the CMCDS can then easily be done by Monte Carlo simulation.

####

*Last up-dated
24-02-09
*

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