EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL

Richard B. Sowers ()
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Richard B. Sowers: Department of Mathematics, University of Illinois at Urbana–Champaign, Urbana, IL 61801, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 03, 367-401

Abstract: We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.

Keywords: Credit risk; rare losses; tranching; Collateralized Debt Obligations (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219024910005814

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