Definition & Betydelse | Engelska ordet TRANCHED

Definition av TRANCHED

1. böjningsform av tranch
2. perfektparticip av tranch

Exempel på hur man kan använda TRANCHED i en mening

• This research has been updated in 2010, leading to the monograph Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models by Brigo, Pallavicini and Torresetti (2010), where, besides the dynamic loss models, the authors show research published before the crisis in 2006, highlighting the problems of the implied and base correlation paradigms that were dominating the valuation of credit index tranches at the time, based on the Gaussian copula, including the impossibility to match specific tranche spread patterns and the issue of allowing for negative expected tranched losses that pointed at possible arbitrage, see for example Torresetti, Brigo and Pallavicini (2006).

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