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发帖数: 3656 | 1 getting into the pricing of a CDO, one first note that the price of a CDO
depends on the correlation in the default processes.
to illustrate this consider CDOs on a basket of 2 assets in a one period
world. each asset has notional of 1, the total notional of the basket is 2.
recovery rates are both 0.
A and B. each has 50% prod to default between time 0 and T. coupon and
protection payments only happen at the end of the single period T.
we have two tranches, equity 0 - 50%, and super senior 50-1 |
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