An option that is written on a tranche- that is, one in which a tranche is used as underlying. More...

A synthetic collateralized debt obligation (synthetic CDO) that is based on a CDS index, where each tranche is associated with...

An option that is written on a tranche- that is, one in which a tranche is used as underlying. More...

A tranche that has a tailor-made exposure to a specific segment of an index loss distribution. It allows market participants...

The fixed leg of a CDO tranche is the present value of the amount of principal (capital) that the protection...

An option that is written on a tranche- that is, one in which a tranche is used as underlying. More...

A portion of a tranche that constitutes a non-standard CDO tranche (or other types of tranches) with smaller loss intervals...

The premium leg of a CDO tranche is the present value of the amount of principal (capital) that the protection...

The premium on an index tranche (CDS index tranche) is the spread paid by the protection buyer that equates the...

The simplest version of a tranche. That is, a tranche that has no extra features other than its basic form....