Abstract
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 367-401 |
| Number of pages | 35 |
| Journal | International Journal of Theoretical and Applied Finance |
| Volume | 13 |
| Issue number | 3 |
| DOIs | |
| State | Published - May 2010 |
Keywords
- Collateralized Debt Obligations
- Credit risk
- rare losses
- tranching
ASJC Scopus subject areas
- Finance
- Economics, Econometrics and Finance(all)