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

Richard B. Sowers

doi:10.1142/S0219024910005814

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

Research output: Contribution to journal › Article › peer-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 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	https://doi.org/10.1142/S0219024910005814
State	Published - 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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Exact pricing asymptotics of investment-grade tranches of synthetic cdos: A large homogeneous pool

Abstract

Keywords

ASJC Scopus subject areas

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