Base Correlation - Probability matching,Expected loss ratio matching

MaxCohen · November 12th, 2007, 9:30 am

Hi,Does anyone have papers on Base Correlation bespoke valuation methods; Proabability matchingExpected loss ratio matchingTranche spread matchingSenior spread matchingI already have Soc Gen's paper "Pricing bespoke CDOs: latest developments" but I am after a more detailed papers.Cheers, Sam

mikeoz · November 12th, 2007, 2:03 pm

There aren't any more detailed papers. Lehman has a similar one.