malz-case
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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...- Unusualskill
- Thread
- default correlation malz-case securitization
- Replies: 6
- Forum: P2.T7. Operational Risk & ERM (25%)