Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral Pools
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Barclays - Barclays Capital - New York
December 3, 2010
Johnson School Research Paper Series No. 21-2010
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: 23working papers series
Date posted: April 20, 2010 ; Last revised: March 16, 2011
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