Skip to main content
Article thumbnail
Location of Repository

CDO TRANCHE SENSITIVITIES IN THE GAUSSIAN COPULA MODEL

By Chao Meng, Ambar and N. Sengupta

Abstract

Abstract. We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous portfolio governed by the onefactor Gaussian copula. Similar results are also derived for a Poisson-mixture model. 1

Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.353.2767
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • https://www.math.lsu.edu/~seng... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.