IDEAS home Printed from https://ideas.repec.org/h/pkk/sfyr10/93-110.html
   My bibliography  Save this book chapter

Models and the crisis The pricing and risks of synthetic CDOs

In: Proceedings of FIKUSZ 2010

Author

Listed:
  • Ákos Gyarmati

    (Corvinus University)

Abstract

We shortly discuss the mathematical modeling and its problems of one of the structured credit derivatives, the synthetic CDOs. These financial products were among the favorites prior to the crisis, and there was a general view that the mathematical models caused or at least boosted it. We focus only on the mathematical description of these derivatives, therefore our analysis concentrates purely on the problems coming directly from the model, we ignore the related practical problems. We find that not only the tools used in the modeling were inappropriate, but the principle used for pricing was also not correct in the framework of risk-neutral pricing. To our knowledge no one has highlighted these theoretical problems so far.well as loan use pattern of the members.

Suggested Citation

  • Ákos Gyarmati, 2010. "Models and the crisis The pricing and risks of synthetic CDOs," Proceedings of FIKUSZ '10, in: László Áron Kóczy (ed.),Proceedings of FIKUSZ 2010, pages 93-110, Óbuda University, Keleti Faculty of Business and Management.
    • Handle: RePEc:pkk:sfyr10:93-110
    as

    Download full text from publisher

    File URL: http://uni-obuda.hu/users/vecseya/RePEc/pkk/sfyr10/gyarmati.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pkk:sfyr10:93-110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alexandra Vécsey (email available below). General contact details of provider: https://edirc.repec.org/data/gkbmfhu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.