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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Tranche Pricing (standard version)<br />
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CDS price: deterministic discount factors, hazard rates<br />
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S<strong>CDO</strong> price: deterministic discount factors, hazard rates<br />
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What about loss distribution assumption<br />
One-factor Gaussian copula is the market standard<br />
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