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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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Loss Trigger Leveraged Super Senior Tranche Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 30 Nov 2022Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7382842 , 10.5281/zenodo.7382841

Loss Trigger Leveraged Super Senior Tranche Valuation

Abstract

The loss trigger leveraged super senior tranche (LT-LSS) valuation model is presented. A leveraged super senior tranche trade is a credit linked note, which provides investors with a leveraged exposure to the super senior tranche in a synthetic CDO transaction. The note holder earns the risk premium associated with selling protection on the entire senior exposure when the protection it provides is limited to only the funded principal amount which is just a fraction of the entire exposure.

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

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Loss Trigger Leveraged Super Senior Tranche Valuation

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selected citations
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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).
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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.
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!
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