Published November 29, 2022
| Version v1
Presentation
Open
Correlation MTM Procedure
Authors/Creators
Description
In an attempt to make the valuation of CDO trades more consistent with market conditions, a new method for implying these correlations from the tracer market has been proposed. The methodology involves two steps: implying a correlation from the tracer market and then mapping the actual trades to these tranches to determine the implied correlation used to value these.
Notes
https://ia601408.us.archive.org/0/items/quanto-himalaya/QuantoHimalaya.pdf
Files
CorrelationMtm.pdf
Files
(153.3 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:6798f47bc324de157b08234f21204c46
|
153.3 kB | Preview Download |