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1answer
33 views

What is Base- vs. Implied Correlation of a CDO tranche?

What is the difference between Base Correlation and Implied Correlation for a CDO tranche?
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0answers
29 views

Where can i find financial data of CDO's starting from 1996

I'm searching for financial information on CDO's from 1996. These infos should include: Collateral,Type (RMBS, CMBS, CDO2, CLO, ABS,etc.) their course, Underlying, Rating, duration,year,and interest ...
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3answers
341 views

Understanding CDOs

I watched every documentary on the financial crisis and CDOs, tried to understand Wikipedia etc.. but still not getting the full picture as examples seem to be limited (or complicated). Say ...
4
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1answer
162 views

Any example code implementing the Shelton CDO 'Back To Normal' Paper?

I'm having a hard time getting my expected loss calculations to tie out with the standard recursion method when implementing the proxy distribution algorithm described by the Back To Normal CDO paper ...
6
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1answer
374 views

Correlation skew mapping

What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio?