Go to content
UR Home

Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches.

Hamerle, Alfred ; Igl, Andreas ; Plank, Kilian


The classical way of treating the correlation smile phenomenon with credit index tranches is to choose a sufficiently flexible model and fit it to tranche market prices. In this article we go a step further and try to explain the tranche prices more fundamentally without directly fitting them. To this end, we use a risk neutral measure of the market factor which we derive from equity index ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons