CPPI in Credit
Posted: March 1st, 2005, 8:58 am
by KGS
CPPI in Credit
Posted: March 1st, 2005, 9:04 am
by donyoshi
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