Correlation Mapping Methods For Bespoke CDOs

The pricing of bespoke synthetic collateralized debt obligation tranches has been described (accurately, in our view) as the "next biggest challenge since Black and Scholes invented their formula for option pricing."

  • 18 May 2007
The pricing of bespoke synthetic collateralized debt obligation tranches has been described (accurately, in our view) as the "next biggest challenge since Black and Scholes invented their formula for option pricing." Even though the Gaussian copula model has quickly emerged as the standard market model, it relies on ...

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GlobalCapital European securitization league table

Rank Lead Manager/Arranger Share % by Volume
1 Societe Generale 15.35
2 Rabobank 14.41
3 Morgan Stanley 11.73
4 Barclays 8.99
5 Credit Agricole 7.57

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 27 Feb 2017
1 Wells Fargo Securities 11,897.40 33 11.83%
2 Bank of America Merrill Lynch 9,837.56 29 9.78%
3 Citi 9,714.54 32 9.66%
4 JPMorgan 7,997.38 24 7.95%
5 Credit Suisse 6,335.67 14 6.30%