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Table Of Contents

CDOs(cont’d)
DifferentAssetClasses
Differenttypes ofstructures: 4 criteria
Flurryofinnovations won’t bediscussed
Let’s focuson 3 cases
Cash CDO / FundedLoanSecuritisation
FundedLoanSecuritisation(cont’d)
PartiallyFundedSyntheticCDO
PartiallyFundedSyntheticCDO (cont’d)
Single tranche SyntheticCDO
Single-trancheSyntheticCDO (cont’d)
Base Case –CDORomuse
Base Case -Portfolio Lossdistribution graph
Portfolio Lossdistribution
Tenorimpact on EL & EcCapital
In theory twocorrelationextremecases
In reallife Intermediatecases
Correlation@ 10% vs Correlation@ 20%
Correlation@ 10% vs Correlation@ 20% (Cont’d)
Conversion ofCumLossintobppaofpool nominal
Translation intotranche pricings
Compound correlationmodellimits
Realmarketpricingsare notsoclose to zero!
CorrelationSmile: Theoryvs marketprices
Base Correlation curve after bootstrapping calc
Mezzanine tranche pricingissensitive to skew
Base case
ExplanationofMtMin orderofmagnitude
Delta: Volumetry
Delta: Tranche attachmentpoint impact
Delta: Tranche detachmentimpact
Delta: otherfactorsimpacts
Variation ofMtMwiththetimeto maturity
Spreadparallelmovetest
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CDO Training Program

CDO Training Program

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Published by jju1047

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Published by: jju1047 on Jan 17, 2012
Copyright:Attribution Non-commercial

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