Credit Derivatives LAT4092
Synthetic CDO Tranche Valuation
Summary
Valuation of a 12%–22% synthetic CDO tranche using a Gaussian dependence model for portfolio credit losses.
Context
The notebook applies a portfolio credit-risk model to tranche-level valuation and loss allocation.
Main contributions
- Models portfolio-credit dependence with a Gaussian framework.
- Values the 12%–22% synthetic CDO tranche.
- Presents the calculation in an executable notebook.