It seems that innovation of credit derivatives comes to a halt in the aftermath of the 2008-9 financial crisis. Anybody aware of any new major development?

<t>Hi,I am writing in C# a synthetic CDO pricing model to calibrate compound and base correlation from market prices, using Gaussian copula with credit default probabilities implied from CDS spreads. However the program is quite slow and takes too much memory. Can anyone give an estimation of reason...

<r>Just learned from someone (Kun Zu) in LinkedIn group "Quant Finance" that "J.P. Morgan’s CDS Analytical Engine Available as Open Source".<URL url="http://www.isda.org/press/press012909.htmlI">http://www.isda.org/press/press012909.htmlI</URL> also implemented a C# version of this model and output/...