Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
SHOW LESS
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Mapping base correlations:<br />
Mechanics after “equivalent” strike is determined<br />
<br />
Consider a risky bespoke portfolio:<br />
Bespoke portfolio<br />
Index portfolio<br />
b<br />
ρ I<br />
a<br />
b’<br />
a’<br />
a’ b’<br />
ρ ( b)<br />
= ρ ( b')<br />
B<br />
ρ ( a)<br />
= ρ ( a')<br />
B<br />
I<br />
I<br />
25
Change language