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Implied Correlation of CDO Index Tranche

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 29 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7378565 , 10.5281/zenodo.7378564 , 10.5281/zenodo.7378580

Implied Correlation of CDO Index Tranche

Abstract

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.

https://ia601508.us.archive.org/28/items/flexibleGic/flexibleGic.pdf

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Implied Correlation of CDO Index Tranche

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
OpenAIRE UsageCountsViews provided by UsageCounts
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