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  1. U

    Topic: Assessing the quality of risk measures

    Statement 1: A common trade during 2004 and 2005 was to sell protection on the equity tranche and buy protection of the mezzanine tranche of the CDX.NA.IG index. Statement 2: The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche. Hi...
  2. G

    Basket Tranches value and risk

    Hi David, please help me in resolving the following confusion: When we find correlation in CDS, I understand following : high correlation makes senior tranches (i.e., high n to default for basket CDS) more expensive (all other things equal) and junior tranches (e.g., 1st to default) less...