Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
Managing Synthetic CDO Tranches using Base Correlations
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Protection buyer can hedge by selling individual<br />
protection<br />
Dealer sells<br />
protection<br />
Protection buyer<br />
Protection Seller<br />
Name 1<br />
Name 2<br />
.<br />
.<br />
.<br />
Dealer<br />
Tranche spread<br />
Loss payments<br />
<strong>CDO</strong><br />
Tranche<br />
b<br />
a<br />
Name N<br />
Credit<br />
Collateral Pool<br />
6