Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools

DOI10.1142/S0219024912500112MaRDI QIDQ2882686zbMATH OpenOpenAlexFDO

Authors Nicolas Diener, Robert A. Jarrow, Philip Protter

Publication date 7 May 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500112

zbMATH Keywords

credit derivativesconditional central limit theoremtop-downCDOsABS

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Central limit and other weak theorems (60F05) Credit risk (91G40)

Recommendations

• A simple top-down approach for pricing portfolio credit derivatives
• Pricing and hedging of CDOs: a top down approach
• Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
• Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
• Up and down credit risk

Cites work

• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• Absolutely continuous compensators
• Changes of filtrations and of probability measures
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Discretization of processes.
• Hazard rate for credit risk and hedging defaultable contingent claims
• Risk-neutral compatibility with option prices
• Structured credit portfolio analysis, baskets \& CDOs

Cited in

(1)

• A simple top-down approach for pricing portfolio credit derivatives

This page was built for publication: Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2882686)