Capital for Structured Products

by Vladislav Peretyatkin of Birkbeck College, and
William Perraudin of Bank of England & Risk Control Limited

June 2004

Abstract: Structured products are complex instruments the payoffs on which depend on the performance of pools of correlated underlying assets and that possess a tranche structure, i.e., a set of rules that prescribe how cash flows on the underlying pool are split between the holders of several classes of claim of different seniorities. We employ is a generalisation of industry-standard, ratings-based credit portfolio models.

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