Cds index tranche
A few papers have examined the pricing of CDX tranche contracts. Coval et al. ( 2009) find that in 2004Q3 – 2007Q3 senior CDX tranches have offered too little 14 Feb 2018 We present a Monte Carlo valuation of iTraxx IG index tranches, combining structural and reduced-form models. The aim is to find tranche fair 10 Dec 2019 However, when they price the credit default swap index (CDX) tranches using the pricing kernel inferred from the index options, they find that