Published December 1, 2022
| Version v1
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Weighted Monte Carlo Sensitivity Calculation
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Description
The model is a non-parametric approach to value complex CDO structures that need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and loss-trigger leverage super senior tranches (LT-LSS).
Notes
https://ia904704.us.archive.org/2/items/callableInverseSwap/callableInverseSwap.pdf
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McSen.pdf
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(196.0 kB)
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