b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
deam (matum) 于 (Tue Aug 12 15:31:42 2008) 提到:
1. Assume a 5 yr First-To-Default basket containing 5 reference assets with
the following spreads (A @ 100, B @ 90, C @ 80, D @ 70 , E @ 60).
- What are the risk drivers of the basket?
- Are there any boundaries to the price of this basket? How are they
derived?
- If the basket is fully delta-hedged, how would a 10d VaR be calculated?
2. I am an equity tranche investor, do I want names to defau | q*******p
发帖数: 5 | 2 One way to think about the reason why equity tranche is long correlation is
to think about the survival. Because the higher the correlation is, the
higher the chance to survive altogether. Since in an default event, the loss
to equity is stopped after more than a certain number of defaults, one will
look at the chance to survive altogether. |
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