Issues in the Pricing of Synthetic Cdos

24 Pages Posted: 6 Jan 2005

Date Written: November 2004

Abstract

In this article, we discuss the standard pricing model framework for synthetic CDOs. Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how the model is applied, vary across the marketplace. We discuss some of the outstanding implementation and application issues, and propose a number of questions that further research on the model should seek to address.

Keywords: Synthetic CDO, pricing models, credit correlation

JEL Classification: D40, G12, G13

Suggested Citation

Finger, Christopher C., Issues in the Pricing of Synthetic Cdos (November 2004). Available at SSRN: https://ssrn.com/abstract=643267 or http://dx.doi.org/10.2139/ssrn.643267

Christopher C. Finger (Contact Author)

RiskMetrics Group - MSCI ( email )

1 Chase Manhattan Plaza
New York, NY
United States

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