Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
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.
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- Amir Dembo & Jean-Deominique Deuschel & Darrell Duffie, 2002.
"Large Portfolio Losses,"
NBER Working Papers
9177, National Bureau of Economic Research, Inc.
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