摘要翻译：
本文介绍了一种新的半参数方法用于定制CDO的定价和风险管理，特别关注需要映射到多个参考投资组合上的定制CDO。我们框架中唯一的用户输入是指数投资组合的多因子模型（以下简称“优先”模型），如CDX.NA.IG或iTraxx Europe)，这些投资组合被选为特定定制CDO定价的基准证券。先前模型的参数是固定的，没有调整以匹配基准指数段的价格。相反，我们的校准过程相当于使用最小交叉熵方法对先前测量进行适当的重新加权。由于后一个问题简化为低维空间中的凸优化问题，我们的模型计算效率很高。给出了模型的静态（单周期）和动态版本。后者可用于参考定制投资组合的更多奇异工具的定价和风险管理，如远期启动部分或部分期权，并用于计算定制部分的信用估值调整(CVA)。
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英文标题：
《Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio
  Credit Derivatives》
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作者：
Igor Halperin
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one reference portfolio. The only user input in our framework is a multi-factor model (a "prior" model hereafter) for index portfolios, such as CDX.NA.IG or iTraxx Europe, that are chosen as benchmark securities for the pricing of a given bespoke CDO. Parameters of the prior model are fixed, and not tuned to match prices of benchmark index tranches. Instead, our calibration procedure amounts to a proper reweightening of the prior measure using the Minimum Cross Entropy method. As the latter problem reduces to convex optimization in a low dimensional space, our model is computationally efficient. Both the static (one-period) and dynamic versions of the model are presented. The latter can be used for pricing and risk management of more exotic instruments referencing bespoke portfolios, such as forward-starting tranches or tranche options, and for calculation of credit valuation adjustment (CVA) for bespoke tranches.
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PDF链接：
https://arxiv.org/pdf/0910.2696