A Trick of the Credit Tail
Risk, March 2008
12 Pages Posted: 28 May 2016
Date Written: March 1, 2008
Abstract
Leveraged super senior (LSS) trades represent a mechanism for packaging senior credit risk. A significant volume of LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article we discuss the valuation of LSS protection in a model independent framework. We argue that the "equivalence" approach to pricing that seems widely used is not appropriate.
Keywords: CDS, leveraged super senior, super senior, tranche, LSS
JEL Classification: G13
Suggested Citation: Suggested Citation
Gregory, Jon, A Trick of the Credit Tail (March 1, 2008). Risk, March 2008, Available at SSRN: https://ssrn.com/abstract=2785568
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