Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10001160498
Persistent link: https://www.econbiz.de/10001169276
This article describes a new approach to compute values and sensitivities of synthetic collateralized debt obligation (CDO) tranches in the market-standard, single-factor, Gaussian copula model with base correlation. We introduce a novel decomposition of the conditional expected capped portfolio...
Persistent link: https://www.econbiz.de/10015383661