Una contribución a la valuación de los Synthetic CDO

Francisco García Castillo ()
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Francisco García Castillo: Instituto Tecnológico y de Estudios Superiores de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2009, vol. 3, issue 2, 60-73

Abstract: The Credit Default Swap (CDS) is the most popular credit derivative and it is used as insurance against the risk of default by a particular company, known as a reference entity. If a portfolio of debt instruments is created with a complex structure where the cash flows from such portfolio are channeled to different categories of investors, we have a collateralized debt obligation (CDO). If the CDO is formed by a portfolio of CDS it is called a Synthetic CDO. The synthetic CDO transfers to market the credit risk of the portfolio. In this paper I describe the synthetic CDO valuation process and I propose an algorithm for the fair pricing of tranches, which does not require Monte Carlo simulation or Copulas, even with different notional principal values

Keywords: Derivados de crédito; riesgo de crédito; collateralized debt obligation (search for similar items in EconPapers)
JEL-codes: C65 G13 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200910

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