Hedging structured credit products during the credit crisis: A horse race of 10 models

► In a comprehensive study, we compare top-down with bottom-up approaches to price CDO contracts. ► The market practice of delta hedging CDO tranches with CDS contracts failed during the crisis. ► Even for the best models daily losses can exceed 5% of the tranche notional. ► No top-down models is able to outperform the Student-t copula, which is the best bottom-up model.