CDS Index Tranches and the Pricing of Credit Risk Correlations

16 Pages Posted: 20 May 2012

See all articles by Jeffery D. Amato

Jeffery D. Amato

Goldman Sachs International

Jacob Gyntelberg

Nordea Group; University of Copenhagen - Department of Economics

Date Written: March 2005

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.

Keywords: CDS Index Tranches, asset pricing, credit risk correlation

JEL Classification: G12, G13, G14

Suggested Citation

Amato, Jeffery D. and Gyntelberg, Jacob, CDS Index Tranches and the Pricing of Credit Risk Correlations (March 2005). BIS Quarterly Review, March 2005. Available at SSRN: https://ssrn.com/abstract=1519849

Jeffery D. Amato

Goldman Sachs International ( email )

United States

Jacob Gyntelberg (Contact Author)

Nordea Group ( email )

Grønjordsvej 10
Copenhagen, DK - 2300
Denmark

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5, Bygn 26
Copenhagen, 1353
Denmark

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