4
votes
Accepted
Reproduce CDS Index Default Probability via Tranche [0,100] Probability
It is actually that you forgot your $1 - R$ in formula (2) :) The index survival curve is defined similarly to the tranche's : $Q\left(t\right) = 1 - \mathbb{E} \left[L\left(t\right)\right] = 1 - \...
- 2,680
2
votes
Why does/did a CDO need a "sponsor"?
The sponsor of the CDO is the collateral manager. In order for a CDO to be issued, someone has to buy the assets that are underlying or backing the tranched default obligations. In other words, the ...
- 6,492
2
votes
Accepted
ABS vs covered bonds vs CDO
MBS are securities which represent ownership in a pool of mortgages
ABS are securities which represent ownership in a pool of assets other than mortgages (for example auto loans or credit card loans)
...
- 9,372
2
votes
CDOs before the 2007 crisis
They ranged from somewhat complex to highly complex. Ultimately though, a CDO like any bond contract, is just a legal document outlining a waterfall of cash flows based on ratings triggers, ...
- 272
1
vote
Why does/did a CDO need a "sponsor"?
"Why was it not profitable (or seem profitable) for the banks that were creating these CDOs to make products with only mezzanine and senior tranches?"
As far as my understanding of the CDO market ...
- 8,059
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