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Valuation of synthetic CDOs

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  • Iscoe, Ian
  • Kreinin, Alexander
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4NF7Y6G-4/2/11469c7eee72046ee752a07560270e19
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 31 (2007)
    Issue (Month): 11 (November)
    Pages: 3357-3376

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    Handle: RePEc:eee:jbfina:v:31:y:2007:i:11:p:3357-3376

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
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    Cited by:
    1. Cardone-Riportella, Clara & Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio, 2010. "What drives bank securitisation? The Spanish experience," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2639-2651, November.

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