Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
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Method 4: Expected Tranche Loss Proportion<br />
Adjusting loss distribution implied by one-factor Guassian copula<br />
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Method 5: Spread Matching<br />
Assume bespoke and index equivalent have the same spread<br />
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