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How do you compute the Greeks within the Gaussian copula CDO valuation model?

In: Mathematical Finance [Edit categories]

Answer:

They cannot be coputed directly. It is a static model. You can estimate the Greeks by shifting the market-data inputs, but there are no analytic formulas. Since most firms calculate Greeks by shifting data, regardless of the availability of analytic formulas, this is not a bad possibility. The difficult part is determining which sensitivities you may want to hedge against.

First answer by ID2671070862. Last edit by ID2671070862. Question popularity: 12 [recommend question].

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