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Issues in the Pricing of Synthetic CDOs

categories: RiskMetrics RiskManager, RiskMetrics Journal, general

In this article, we discuss the standard pricing model framework for synthetic CDOs. Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how the model is applied, vary across the marketplace. We discuss some of the outstanding implementation and application issues, and propose a number of questions that further research on the model should seek to address.


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