Managing Synthetic CDO Tranches using Base Correlations

More documents

Recommendations

Info

Method 4: Expected Tranche Loss Proportion Adjusting loss distribution implied by one-factor Guassian copula Method 5: Spread Matching Assume bespoke and index equivalent have the same spread 28
How do the mappings compare Consider the following test case (from Baheti and Morgan(2007)): Bespoke: iTraxx S6 Index: CDX IG7 29
Page 2 and 3: Managing synthetic CDO tranches usi
Page 4 and 5: Synthetic CDO mechanics losses Pro
Page 6 and 7: Protection buyer can hedge by selli
Page 8 and 9: Agenda Synthetic CDO mechanics Ba
Page 10 and 11: Gaussian Copula Model (con’t) S
Page 12 and 13: Base correlation framework Each tr
Page 14 and 15: Stress tests Base correlations c
Page 16 and 17: Subprime crisis has spread to … L
Page 18 and 19: Stress Test Example for CDX.NA.IG S
Page 20 and 21: So which stress test makes sense I
Page 22 and 23: Agenda Synthetic CDO mechanics Ba
Page 24 and 25: Mapping base correlations between b
Page 26 and 27: Base correlation mapping methods Fi
Page 30 and 31: Comparison of mappings for iTraxx S
Page 32 and 33: Heterogeneous portfolios Can we fin
Page 34 and 35: Consider linear interpolation iTrax
Page 36: Summary Base correlation are usef

Managing Synthetic CDO Tranches using Base Correlations

Create successful ePaper yourself

Delete template?

Save as template?