Squaring factor copula models
Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl introduce this contract,and present a quasi-analytical framework for the valuation and hedging of this and other similar ‘squared’ products
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