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KGS
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Joined: March 1st, 2005, 8:41 am

CPPI in Credit

March 1st, 2005, 8:58 am

Last edited by KGS on March 1st, 2005, 11:00 pm, edited 1 time in total.
 
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donyoshi
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Joined: February 18th, 2004, 8:26 am

CPPI in Credit

March 1st, 2005, 9:04 am

same as you would hedge any cppi. if the portoflio is all derivs (CDS, etc), then you'll have to manage it against the TV of those positions, if they are cash positions (ie bonds), then against the bond portfolio value