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I have a question about CDO's from asset backed securities . Below i will provide context to my question with picture. I have no idea
I have a question about CDO's from asset backed securities Below i will provide context to my question with picture. I have no idea how i can calculate losses in different tranches. Below is an example of a mezzanine CDO, how would i go about calculation losses in the tranches?
Assets Are divided between senior tranche AAA Mezzanine tranche BBB Equity tranche not rated
Then this BBB mezzanine tranche is divided into: senior tranche AAA mezzanine tranche BBB and an equity tranche
the picture i added has the answers, Thanks in advance!
Losses to AAA Tranche of ABS CDO
Table page
tabletableLosses onSubprimeportfoliostableLosses onMezzanineTranche ofABShanks in advance!
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