Exact pricing asymptotics of investment-grade tranches of synthetic cdos: A large homogeneous pool

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)367-401
Number of pages35
JournalInternational Journal of Theoretical and Applied Finance
Volume13
Issue number3
DOIs
StatePublished - May 2010

Keywords

  • Collateralized Debt Obligations
  • Credit risk
  • rare losses
  • tranching

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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