Implied Loss Distribution, Term Structure of Correlation Skew and ...
Implied Loss Distribution, Term Structure of Correlation Skew and ...
Implied Loss Distribution, Term Structure of Correlation Skew and ...
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
<strong>Loss</strong> <strong>Distribution</strong> Comparisons<br />
CDX <strong>Loss</strong> <strong>Distribution</strong>: <strong>Implied</strong>, GM, <strong>and</strong> 15% Flat Gaussian<br />
100%<br />
90%<br />
80%<br />
Market<br />
70%<br />
Gaussian Mixture<br />
Prob (L > K)<br />
60%<br />
50%<br />
40%<br />
Flat 15%<br />
30%<br />
20%<br />
10%<br />
0%<br />
0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00%<br />
strike<br />
18
Change language