RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS

This paper uses a conditional law of large numbers and a conditional central limit theorem to provide simplified asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash-flow CDOs. In particular, approximate pricing procedures are provided for synthetic and cash-flow CDOs. In the process, this paper also clarifies the relation between the "top-down" and "bottom-up" approaches for pricing credit derivatives.

MoreLess

Year of publication:	2012
Authors:	DIENER, NICOLAS ; JARROW, ROBERT ; PROTTER, PHILIP
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 02, p. 1250011-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Credit derivatives \| CDOs \| ABS \| top-down \| Conditional Central Limit Theorem

Online Resource

Check full text access |

More access options

www.worldscinet.com

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010883217