Calyon and ANZ launch Australian credit CPPI notes
Calyon and ANZ have launched what they say are the first credit constant proportion portfolio insurance (CPPI) notes for the Australian market. They are called Credit Sail and offer 100% principal protection.
This paper looks at the different types of optimization for these trades, how they are calculated, and how the different optimization groups are interrelated. It also discusses some of the practical aspects of this type of multivariate optimization.