EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL

DOI10.1142/S0219024910005814zbMath1197.91188arXiv0903.4475OpenAlexW3124252401MaRDI QIDQ3580215

Richard B. Sowers

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.4475

zbMATH Keywords

credit riskCDOtranchingrare losses

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Recovery rates in investment-grade pools of credit assets: a large deviations analysis

Cites Work

• Large portfolio losses
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Some Applications and Methods of Large Deviations in Finance and Insurance

This page was built for publication: EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL