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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Agenda<br />
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<strong>Synthetic</strong> <strong>CDO</strong> mechanics<br />
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<strong>Base</strong> correlations under Gaussian copula model<br />
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Stress tests<br />
<br />
Mapping bespoke tranches to standard index tranches<br />
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Interpolation / extrapolation of base correlations<br />
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