Managing Synthetic CDO Tranches using Base Correlations

More documents

Recommendations

Info

Comparison of mappings for iTraxx S6: January 31, 2007 Source: Lehman Brothers 30
<strong>Base</strong> correlation skew for iTraxx S6 5Y Source: Lehman Brothers 31
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 28 and 29: Method 4: Expected Tranche Loss Pro
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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?