Masterclass with Deutsche Bank: Long or short in CDOs - The second of our articles on synthetic CDOs and basket default swap pricing is an investigation into the sensitivity of tranched CDO pricing to correlation and recovery rate assumptions.
| Year of publication: |
2002
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|---|---|
| Authors: | Boscher, Hans ; Ward, Ian |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 6, p. 125-130
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