Synthetic CDOs
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Publication:3548485
DOI10.1017/CBO9780511755484zbMATH Open1161.91006OpenAlexW4256195333MaRDI QIDQ3548485FDOQ3548485
Authors: C. Mounfield 
Publication date: 15 December 2008
Full work available at URL: https://doi.org/10.1017/cbo9780511755484
Recommendations
- Valuation and VaR Computation for CDOs Using Stein’s Method
- Structured credit portfolio analysis, baskets \& CDOs
- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
- Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
- Rise and fall of synthetic CDO market: lessons learned
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (11)
- Using distortions of copulas to price synthetic CDOs
- Valuation of forward-starting CDOs
- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
- Constant proportion debt obligations (CPDOs): modeling and risk analysis
- Structured credit portfolio analysis, baskets \& CDOs
- Credit derivatives and credit risk models. A mathematical introduction.
- Pricing synthetic CDO with MGB2 distribution
- Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
- Valuation and VaR Computation for CDOs Using Stein’s Method
- Rise and fall of synthetic CDO market: lessons learned
- Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
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