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CDO Tranche Delta - Compound Vs Base Correlation models
Posted: March 21st, 2005, 4:03 pm
by gulati
Has anyone compared delta (or leverage) given by base correlation and compound correlation models? I am using standard 1 factor gaussian coppula model. I notice that compound correlation model's deltas are quite higher for mezz tranches as compared to base correlation model's. Any thoughts?
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: March 31st, 2005, 7:48 am
by Soren
You are not alone, this is also discussed in Finger (2005) 'Issues in the Pricing of Synthetic CDOs' where differences in deltas up to a factor of 3 are found. In this paper, work by St. Pierre et al. is referenced where a comparison of hedging performance based on the two types of correlation is made. St. Pierre, M. et al. (2004). Valuing and Hedging Synthetic CDO Tranches Using Base Correlations, Credit Derivatives, Bear Stearns. May 17Unforfortunately, I have not been able to find this paper - if anyone has it I would love to read it.
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 4th, 2005, 6:30 pm
by gulati
Thanks, Soren. I also couldn't find any of these papers....do you know the gist of these papers?
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 4th, 2005, 6:33 pm
by Soren
You can get the Finger paper from SSRNhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=643267Give it a read, it's worth your time
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 7th, 2005, 1:32 pm
by fodao
Hi,I have St. Pierre, Bear Stearn paper if anyone wants. Do you know of a free online storage space where i can drop it?
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 7th, 2005, 5:08 pm
by creditderivative
Sorry for the duplicate.
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 7th, 2005, 5:09 pm
by creditderivative
Hi fodao,You can upload it here on the forum.
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 13th, 2005, 8:28 pm
by scholar
Fodao, could you please upload the paper. Thanks in advance.
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 14th, 2005, 12:41 pm
by Greenspoon
Any idea of the spread quotes for Mezzanine tranche on CDX.NA.HY ? Will it a flat bp spread or a running Spread + Upfront Payment (as % of tranche notional). Thanks.N
CDO Tranche Delta - Compound Vs Base Correlation models
Posted: April 15th, 2005, 2:17 am
by fodao
The Bear Sterns Base corr. paper (St. Pierre et al).