Valuation and VaR Computation for CDOs Using Stein’s Method

DOI10.1007/978-3-540-69179-2_8MaRDI QIDQ3542255zbMATH OpenOpenAlexFDO

Authors Nicole El Karoui, Ying Jiao, David C. Kurtz

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_8

zbMATH Keywords

collateralized debt obligations (CDO)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Risk analysis of collateralized debt obligations
• Synthetic CDOs
• Pricing a CDO on stochastically correlated underlyings
• Valuation of forward-starting CDOs
• Valuation of complex financial instruments for credit risk transfer
• Structured credit portfolio analysis, baskets \& CDOs
• Stein's method and zero bias transformation for CDO tranche pricing

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