Published December 1, 2022
| Version v1
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Risk Measures for FNM and CDO2&3 Trades
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Description
The purpose of the submitted model is to calculate the risk measures for FirstNofM trade (FNM) trades and CDO2&3 trades. They are bucketed credit spread sensitivities for FNM trades; bucketed credit spread sensitivities for CDO2&3 trades; default sensitivities and correlation sensitivities for CDO2&3 trades.
Notes
https://ia904703.us.archive.org/32/items/quantoTrs/quantoTrs.pdf
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RiskMeasureFnmCDO2&3.pdf
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(112.0 kB)
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