Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - In: Quantitative Finance 14 (2014) 9, pp. 1573-1585
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the entities in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...