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CDS on the Senior tranche of the CDO with tranche correlation
A financial firm has sold default protection on the most senior tranche of a CDO. If the default correlation between assets held in the CDO decreases sharply from the correlation used in pricing the CDO tranches, assuming everything else is unchanged, how will the position of the financial firm...- xZhan3765
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- garp22-p2-47
- Replies: 1
- Forum: P2.T5. Market Risk (25%)