From insurance risk to credit portfolio management: a new approach to pricing CDOs

We present a new approach for pricing collateralized debt obligations (CDOs) which takes into account the issue of the market incompleteness. In particular, we develop a suitable extension of the actuarial framework proposed by Bayraktar et al. [Valuation of mortality risk via the instantaneous Shar...

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Veröffentlicht in:	Quantitative finance 2016-10, Vol.16 (10), p.1495-1510
Hauptverfasser:	Andreoli, Alessandro, Ballestra, Luca Vincenzo, Pacelli, Graziella
Format:	Artikel
Sprache:	eng
Schlagworte:	Bid-ask spread CDO Collateralized debt obligation Finite difference Incomplete market Sharpe ratio
Online-Zugang:	Volltext
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