Published November 29, 2022
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Implied Correlation of CDO Index Tranche
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The implied correlations for the CDO index tranches are the correlations backed out by the market quoted prices using CDO valuation models available in the credit library, namely, the Poisson model and the Normal Copula model.
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https://ia601508.us.archive.org/28/items/flexibleGic/flexibleGic.pdf
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ImpliedCorrelation.pdf
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