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CDS index tranches and the pricing of credit risk correlations

Author

Listed:
  • 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.

Suggested Citation

  • Jeffery D Amato & Jacob Gyntelberg, 2005. "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
    • Handle: RePEc:bis:bisqtr:0503g
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    References listed on IDEAS

    as
    1. M. Davis & V. Lo, 2001. "Infectious defaults," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 382-387.
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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