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) |
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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)