CDS index tranches and the pricing of credit risk correlations

BIS Quarterly Review  | 
07 March 2005
PDF full text
 (115kb)
 |  16 pages

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.