We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obligation (CDO) tranches using algorithmic Hessian methods developed in Joshi and Yang (2010) in a single-factor Gaussian copula model. Our method is correct...

We introduce a simplistic Value-at-Risk attribution methodology amendment designed specifically for the scenario where the entity is reporting its risk metrics in a currency that is different to that of the underlying commodity exposures