Synthetic CDOs

DOI10.1017/CBO9780511755484MaRDI QIDQ3548485zbMATH OpenOpenAlexFDO

Authors C. Mounfield

Publication date 15 December 2008

Full work available at URL https://doi.org/10.1017/cbo9780511755484

zbMATH Keywords

risk managementsecuritisationcredit derivativetranchessynthetic collateralised debt obligations

Mathematics Subject Classification ID

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)

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

Cited in

(11)

• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• Credit derivatives and credit risk models. A mathematical introduction.
• Valuation and VaR Computation for CDOs Using Stein’s Method
• Valuation of forward-starting CDOs
• Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
• Pricing synthetic CDO with MGB2 distribution
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
• Structured credit portfolio analysis, baskets \& CDOs
• Rise and fall of synthetic CDO market: lessons learned
• Using distortions of copulas to price synthetic CDOs

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