cdo-tranche

Hi, re the discussions on CDO tranche spreads with respect to correlation between the assets in the CDO, I am referring to page 125 of Chapter 7 of Market Risk Measurement & Management 2022 edition, it states: "Importantly, the correlation of the bonds in CDOs (which originally were only...

Hi. In the study notes of the assigned reading "Innovations in Credit Risk Transfer: Implications for Financial Stability" by Darrell Duffie (p.27) says Senior CDO tranche is shorting a call option on cash-flow of underlying collateral, while Junior tranche is effectively long a call...