Una contribución a la valuación de los Synthetic CDO
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
Volume (Year): 3 (2009)
Issue (Month): 2 ()
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- Michael S. Gibson, 2004. "Understanding the risk of synthetic CDOs," Finance and Economics Discussion Series 2004-36, Board of Governors of the Federal Reserve System (U.S.).
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
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