Open AccessCDO tranche sensitivities in the Gaussian copula model
Author(s) -
Chao Meng,
Ambar N. Sengupta
Publication year - 2011
Publication title -
communications on stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 10
eISSN - 2688-6669
pISSN - 0973-9599
DOI - 10.31390/cosa.5.2.09
Subject(s) - tranche , copula (linguistics) , gaussian , econometrics , computer science , mathematics , economics , actuarial science , physics , quantum mechanics
We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous portfolio governed by the onefactor Gaussian copula. Similar results are also derived for a Poisson-mixture model.
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