base-correlation

  1. Nicole Seaman

    P2.T6.24.23 CDS Forwards and Options, Gaussian Copula Model, and Correlation

    Learning Objectives: Define CDS forwards and CDS options. Describe the process of valuing a synthetic CDO using the spread payments approach and the Gaussian copula model of time to default approach. Define the two measures of implied correlation: compound (tranche) correlation and base...
    • Nicole Seaman
    • Thread
    • base-correlation cds-forwards cds-options compound-correlation default-correlation gaussian-copula implied-correlation spread-payments synthetic-cdo
    • Replies: 0
    • Forum: FRM® Practice Questions
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