Impact of (a) Credit Event(s) on index tranches

Impact of (a) Credit Event(s) on Index Tranches

  • TheĀ model assesses the impact of the default of one or several index components on the attachment point, detachment point, and size of index tranches ;
  • This simplistic model assumesĀ all components are equally weighted and have the same recovery.

Index Tranches After Credit
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