Hedging Synthetic Collaterallized Debt Obligations
Synthetic Collaterallized Debt Obligations (CDOs) have enjoyed very rapid growth in the credit derivatives market. However, the valuation of such multi-credit instruments remains very challenging. In this talk, we focus
on the issue of hedging such instruments and discuss how to bridge "traditional" credit valuation with "modern" credit valuation. Some practical issues around computing accurate hedge ratios are also discussed.
- Workflow Status: Published
- Created By: Barbara Christopher
- Created: 10/08/2010
- Modified By: Fletcher Moore
- Modified: 10/07/2016