3. Using the same assumptions as in question 1, model the two-tranche transaction using an IDFM based

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3. Using the same assumptions as in question 1, model the two-tranche transaction using an IDFM based on

(a) the beta;

(b) the normal; and

(c) the gamma distributions. How do the ratings on the A and B classes compare with in these three treatments?

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Elements Of Structured Finance

ISBN: 9780195179989

1st Edition

Authors: Ann Rutledge, Sylvain Raynes

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