Abstract
This article analyzes the risks of synthetic CDO structures and their sensitivity to model parameters. To measure these sensitivities, the author introduces the latest techniques in pricing and risk management of synthetic CDOs. He shows how to model the conditional and unconditional default distributions of a typical synthetic deal using a simple mathematical framework. Strictly speaking, the findings of this article are directly applicable only to synthetic structures. However many of the modeling and risk-management insights discussed apply to structures involving a waterfall.
- © 2007 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600