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Presentation . 2022
License: CC BY
Data sources: Datacite
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Other literature type . 2022
License: CC BY
Data sources: ZENODO
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ZENODO
Presentation . 2022
License: CC BY
Data sources: Datacite
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Mapping CDO2&3 to Risk Equivalent CDO

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 25 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7363084 , 10.5281/zenodo.7363083

Mapping CDO2&3 to Risk Equivalent CDO

Abstract

Mapping CDO2 and CDO3 trades to risk equivalent CDO (RE-CDO) trades can be done by matching the b/e spread a RE-CDO is calculated and taken as the proxy of a target CDO2 or CDO3 trade. Then the MTM of the CDO2 or CDO3 trade can be calculated using the market observed correlations by finding the MTM of the proxy via index base correlations.

https://ia601402.us.archive.org/23/items/correlation-calibration/CorrelationCalibration.pdf

Keywords

Mapping CDO2&3 to Risk Equivalent CDO, Mapping CDO2&3 to Risk Equivalent CDO

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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.
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This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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