Skip to Main Content
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
book

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

by Tomasz R. Bielecki, Damiano Brigo, Frédéric Patras
February 2011
Intermediate to advanced content levelIntermediate to advanced
768 pages
22h 39m
English
Bloomberg Press
Content preview from Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Chapter 6

Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice

Areski Cousin

Université de Lyon, Université Lyon 1, ISFA

Jean-Paul Laurent*

Université Paris 1 Panthéon-Sorbonne and BNP Paribas

This chapter intends to provide insights about the topical issue of risk managing synthetic collateralized debt obligations (CDOs). We stand in the gray zone between mathematical finance and financial econometrics, between academic and market practitioners’ approaches. We chose to first present two scholar models, each of them leading to perfect replication of CDO tranches with credit default swaps (CDSs). Though they rely on rather simplistic assumptions and are built upon different premises, they lead to similar hedge ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Reverse Mortgages and Linked Securities: The Complete Guide to Risk, Pricing, and Regulation

Reverse Mortgages and Linked Securities: The Complete Guide to Risk, Pricing, and Regulation

Vishaal Bhuyan

Publisher Resources

ISBN: 9781118003831Purchase book