Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0903.4475.
Date of creation: Mar 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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- Amir Dembo & Jean-Dominique Deuschel & Darrell Duffie, 2004.
"Large portfolio losses,"
Finance and Stochastics,
Springer, vol. 8(1), pages 3-16, January.
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