Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
24 Pages Posted: 10 Apr 2009 Last revised: 22 Jun 2009
Date Written: April 9, 2009
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.
Keywords: synthetic CDO's, large deviations, investment-grade tranches
JEL Classification: C63
Suggested Citation: Suggested Citation