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Keywords: Percentile tranching
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (4): 385–416.
Published: 18 August 2014
... to incorporate insurance risk are forecasted. Based on the percentile tranching method, where individual tranches are aligned to Standard & Poor's ratings, we price an inverse survivor bond. This bond offers fix coupon payments to investors, while the principal payments are at risk and depend on the survival...
