cds-forwards

  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...
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