CDS Index Tranches and the Pricing of Credit Risk Correlations
16 Pages Posted: 20 May 2012
Date Written: March 2005
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: Suggested Citation