Skip to content

The correlation of expected defaults on the collateral of a CDO affects:

May 1, 2018

The relative value between the senior and subordinate tranches.

  • As default correlation increased the value of the mezzanine tranches usually increase relative to the value of senior tranches.
Advertisements

From → Asset Valuation

Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: