Krahnen, Jan Pieter (contributor); … - 2008
Univer-
sity's Center for Financial Studies (CFS). This paper is part of CFS' project on the Economics of Credit Risk ….
Most related papers treat the issue of risk allocation to tranches in the context of pricing
studies. Coval et al. (2007 … mutual correlation coe–cient for all assets.
The chosen one-factor approach is the model choice in many studies, such as …