meissner

We are big fans here at BT of Gunter Meissner who is a perennial FRM author. Before his latest book was added to the syllabus (Correlation Risk Modeling and Management), his previous book Credit Derivatives: Application, Pricing, and Risk Management was assigned for several years and it's a...

Hi David, I am struggling to understand this concept of loss occurring (i.e Spread change in Equity Tranche and Mezzanine Tranche). 1) Why does Equity Tranche spread increases if the correlation decreases as shown in the graph below. (eg. If correlation is high in the equity tranche - the...