CDS index tranches and the pricing of credit risk correlations
BIS Quarterly Review, March 2005 73 Jeffery D Amato +41 61 280 8434 jeffery.amato@bis.org Jacob Gyntelberg +41 61 280 9156 jacob.gyntelberg@bis.org CDS index tranches and the pricing of credit risk correlations1 Standardised loss tranches based on credit ...