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Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral PoolsRobert A. JarrowCornell University - Samuel Curtis Johnson Graduate School of Management Philip ProtterCornell University Nicolas DienerBarclays - Barclays Capital - New York December 3, 2010 Johnson School Research Paper Series No. 21-2010 Abstract: This paper provides asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash flow CDOs. As such, it provides the link between the "bottom up" and "top down" approaches used for the pricing of these credit risky securities.
Number of Pages in PDF File: 23 working papers seriesDate posted: April 20, 2010 ; Last revised: March 16, 2011Suggested CitationContact Information
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