Published November 30, 2022
| Version v1
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Implied Base Correlation Mapping Methodology
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Description
The Mapping model serves the purpose of finding implied base correlations for a bespoke CDO trade from market quoted standard CDO indices Dow Jones CDX and iTraxx Europe. In this report, a CDO tranche is defined as bespoke if its reference portfolio composition is different from that of CDO indices.
Notes
https://ia904700.us.archive.org/14/items/bondAmericanOption/bondAmericanOption.pdf
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LRMapping.pdf
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(134.7 kB)
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