Published December 22, 2022 | Version v1
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Model Reserves

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Description

Parameters risks are encompassed under correlation and recovery ratios reserves.  Correlation reserves are computed at 0.15 for first to default baskets and 0.20 for other transactions that are not subject to EITF 02-03.  Recovery ratios are randomly simulated for each obligor with a beta distribution and reserves are set to a 25-percentile loss on a portfolio.

Notes

https://ia601401.us.archive.org/34/items/inflation-swap-cap/InflationSwapCap.pdf

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ModelReserves.pdf

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