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CDS index tranches and the pricing of credit risk correlations

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Author Info
Jeffery D Amato
Jacob Gyntelberg
Abstract

Standardised loss tranches based on credit default swap (CDS) indices have increased liquidity in the market for credit risk correlations. Although progress is being made, quantitative modelling of these correlations is complex and not yet fully developed.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2005)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0503g

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Related research
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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

Cited by:
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  1. Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Pre- and Post-Print documents halshs-00179325_v1, HAL. [Downloadable!]
  2. Y. Lu & Jorge A. Chan-Lau, 2006. "Idiosyncratic and Systemic Risk in the European Corporate Sector: A CDO Perspective," IMF Working Papers 06/107, International Monetary Fund. [Downloadable!]
  3. Abel Elizalde, 2006. "CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs," Working Papers wp2006_0608, CEMFI. [Downloadable!]
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This page was last updated on 2008-4-29.

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