Credit Default Swap Index Curve Adjustment

The methodology of credit default swap index (CDSI) curve adjustment serves the purpose of making adjustment to the credit spread curve of each reference name in the index portfolio such that the market price of the index can be reproduced using these constituent curves. The adjusted index constituent curves are then used to price the standard collateral debt obligation (CDO) tranches based on the index portfolio.

https://ia904700.us.archive.org/23/items/local-vol-quanto/LocalVolQuanto.pdf

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