CDS index tranches and the pricing of credit risk correlations

Jeffery D Amato and Jacob Gyntelberg

BIS Quarterly Review, 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.

JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
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