CREDIT DERIVATIVES - Loss in translation - The authors introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current, analytical approaches by focusing on the tranghe's loss distribution directly.

CREDIT DERIVATIVES Loss in translation - The authors introduce a lew analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly.

Prisco, Ben De, (2005)

Compound scenarios : an efficient framework for integrated market-credit risk

De Prisco, Ben, (2009)

Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function

Iscoe, Ian, (2013)