The one-factor Gaussian model is well-known not to fit simultaneously the prices of the different tranches of a collateralized debt obligation (CDO), leading to the implied correlation smile. Recently, other one-factor models based on different distributions have been proposed. Moosbrucker used a one-factor Variance Gamma model, Kalemanova et al. and Guegan and Houdain worked with a NIG factor model and Baxter introduced the BVG model. These models bring more flexibility into the dependence

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... cture and allow tail dependence. We unify these approaches, describe a generic one-factor Levy model and work out the large homogeneous portfolio (LHP) approximation. Then, we discuss several examples and calibrate a battery of models to market data.