-
Index Tranches and Bespoke CDOs
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Credit derivatives, Derivative securities--Valuation, Collateralized debt obligations, Capital assets pricing model
- Item Type:
- Article
- Tag(s):
- credit derivatives, cdo, index, valuation, risk management
- Permanent URL:
- https://doi.org/10.17613/6jzp-cc30
- Abstract:
- The purpose of the model is to calculate the credit spread sensitivity, correlation sensitivity, and default sensitivity via analytic methods for index CDO trades and bespoke CDO trades. The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by a small amount; the default sensitivity is calculated by assuming that one obligor in the collateral pool defaults right away; and the correlation sensitivity is computed by perturbing the index base correlations by a small amount.
- Notes:
- https://www.issuelab.org/resources/42590/42590.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- Attribution
riskmeasuresindexbespoke.pdf