It is possible to devise realistic structural credit-equity models that can be calibrated to the entire spectrum of credit-equity derivatives. Except that viable models are not analytically solvable and thus require a new type of mathematics and numerical analysis. Emerging multi-core microchip design make it possible to avoid entirely analytic solvability by evaluating transition probability kernels via third and fourth level BLAS. Dynamic copulas can then be evaluated either algebraically with dynamic conditioning or by Monte Carlo simulation. A combination of operator methods, high throughput linear algebra and Monte Carlo simulations executing on high density boards leads to a modelling framework that allows on to calibrate and price CDOs, hybrids and counterparty risk.

Claudio Albanese holds a PhD from ETH Zurich. He held regular faculty positions at the University of Toronto and Imperial College. He is currently Visiting Professor at King's College London and consults for various financial institutions.