Risk Measures for Index Tranches and Bespoke CDOs

The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by a small amount; the default sensitivity is calculated by assuming that one obligor in the collateral pool defaults right away; and the correlation sensitivity is computed by perturbing the index base correlations by a small amount.https://ia601405.us.archive.org/35/items/dailyDigital/dailyDigital.pd