Economics, Econometrics and Finance
4 years ago

New Valuation Methods Revolutionize Pricing of Synthetic CDOs

Elsevier eBooks
Valuing Portfolio Swaps and CDOs
Antúlio N. Bomfim

Paper Summary

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Portfolio default swaps are similar to basket default swaps and are valued using methods similar to baskets. They are important on their own and can be used to create synthetic collateralized debt obligations (CDOs). Additional valuation issues are discussed for pricing synthetic CDOs.