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day1pnl


Total Posts: 8
Joined: Jun 2017
 
Posted: 2017-11-16 22:09
Anyone has insight into pricing and modeling of this half a decade old deal?

I know it's an out of the money tranche (or call spread) on the survivals in a portfolio. Not sure that its simply priced up using a cdo model, but could be wrong. So if anyone has a technical report or can give some more color on the modeling details / how its structured and risk managed that would be appreciated.

(was also already requesting the forum in another thread for the paper "longevity gets standardised" which might have the info i need, but haven't been able to source that one yet)

thx
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