Journal of Credit Risk

Risk.net

Issues in the pricing of synthetic CDOs

Christopher C. Finger

ABSTRACT

In this article, we discuss the standard pricing model framework for synthetic collateralized debt obligations (CDOs). Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how it 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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