Una Contribución a la Valuación de los Synthetic CDO
The Credit Default Swap (CDS) is the most popular credit derivative and it is used as an insurance against the risk of default by a particular company, known as a reference entity. If a portfolio of debt instruments is created with a complex structure where the cash flows from such portfolio are channeled to different categories of investors, we have a collateralized debt obligation (CDO). If the CDO is formed by a portfolio of CDS it is called a Synthetic CDO. The synthetic CDO transfers to market the credit risk of the portfolio. In this paper I describe the synthetic CDO valuation process and I propose an algorithm in order to get the fair price of tranches that do not require Monte Carlo simulation or Copulas, even with different notional principal values.
Year of publication: |
2009
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Authors: | García Castillo, Francisco |
Published in: |
Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics). - Escuela de Graduados en Administración Pública y Políticas Públicas (EGAP). - Vol. 3.2009, 2, p. 60-73
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Publisher: |
Escuela de Graduados en Administración Pública y Políticas Públicas (EGAP) |
Subject: | Derivados de crédito | riesgo de crédito | collateralized debt obligation |
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