Published January 24, 2023
| Version v1
Presentation
Open
Credit Basket Analysis
Creators
Description
The model is used to analyze the dynamics of a well diversified credit basket of names. More specifically, the tool is capable of predicting correlated loss levels and pool spreads over time. These forecasts can be used to further gauge the possibility of hitting predefined spread trigger thresholds.
Notes
https://ia904702.us.archive.org/13/items/american-swaption/AmericanSwaption.pdf
Files
creditBasketAnalysis.pdf
Files
(102.0 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:a710106b4859f0e935cc21ae255f1e5f
|
102.0 kB | Preview Download |