CDS index tranches and the pricing of credit risk correlations
BIS Quarterly Review
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07 March 2005
Standardised loss tranches based on credit default swap (CDS) indices have increased liquidity in the market for credit risk correlations. Although progress is being made, quantitative modelling of these correlations is complex and not yet fully developed.
JEL classification: G12, G13, G14.
The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.
