The pricing and hedging of synthetic CDOs under the conditional independence assumption

In this paper we investigate the valuation and hedging issues of synthetic collateral debt obligations (CDOs) under the conditional independence assumption. The probability bucketing method of Hull and White (2004) enables us to construct the loss distribution, and we characterize the correlation st...

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Bibliographic Details
Main Authors: CHIANG, Mi-Hsiu, YUEH, Meng-Lan, LIN, An-Ping
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
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Online Access:https://ink.library.smu.edu.sg/soa_research/1566
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Institution: Singapore Management University
Language: English