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  • Search: subject:"Index base correlation extrapolation"
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Year of publication
Subject
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Bespoke CDO pricing 1 Equivalent Strike framework 1 Index base correlation extrapolation 1 index tranche sensitivities 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Mrad, Moez 1 Triki, Racem 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Fine-tuning the equivalent strike framework for bespoke cdo tranches pricing
Mrad, Moez; Triki, Racem - Volkswirtschaftliche Fakultät, … - 2011
This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework. This new approach provides an equivalent strike that is independent from the index base correlation. This feature is valuable when pricing very junior and senior tranches or when computing index...
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