Base Correlation - Probability matching,Expected loss ratio matching
Posted: 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