Issues in the Pricing of Synthetic Cdos
24 Pages Posted: 6 Jan 2005
Date Written: November 2004
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: Suggested Citation