Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Issues in the pricing of synthetic CDOs
Christopher C. Finger
Abstract
ABSTRACT
In this article, we discuss the standard pricing model framework for synthetic collateralized debt obligations (CDOs). Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how it is applied, vary across the marketplace. We discuss some of the outstanding implementation and application issues and propose a number of questions that further research on the model should seek to address.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
