CDO Tranche Sensitivities in the Gaussian Copula Model
by Chao Meng of Louisiana State University, and
Abstract: We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar
Keywords: Credit Derivatives, Gaussian Copula, CDS, CDO, Correlation.