3. Using the same assumptions as in question 1, model the two-tranche transaction using an IDFM based
Question:
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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Related Book For
Elements Of Structured Finance
ISBN: 9780195179989
1st Edition
Authors: Ann Rutledge, Sylvain Raynes
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