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 Total Volume $m No. of Deals Share % by Volume
1 Bank of America Merrill Lynch (BAML) 6,665 23 13.02
2 Citi 5,781 17 11.29
3 BNP Paribas 3,530 14 6.89
4 Barclays 2,853 9 5.57
5 Credit Suisse 2,783 8 5.44

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 99,250.27 279 13.13%
2 Bank of America Merrill Lynch 91,648.43 266 12.13%
3 Wells Fargo Securities 72,661.39 222 9.61%
4 JPMorgan 52,367.24 169 6.93%
5 Credit Suisse 41,885.89 127 5.54%