What is the delta of tranche with respect to index

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Reference no: EM131622523

Consider a [0%, 5%] super senior tranche , and a index CDS spread of 400 bps for 5 years maturity assuming 0% recovery and 0% interest rates. We’ll be pricing this tranche using one factor gaussian copula.

a) What is the tranche expected loss ?

b) What is the e?ect of correlation for equity tranche expected loss and par CDS spread? use 1%, 10%, 20%, 30% gaussian copula correlation and compute the par spread and expected loss.

c) What is the delta of tranche with respect to index?

Reference no: EM131622523

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