Dear all,Have someone good references on pricing CDO of RMBS ? It sounds that it is difficult to find information about this topic (for the moment, I have found nothing).Any help would be really appreciated.Thanks by advance,Amb

Hey, It depends on what you are looking for. As such, there are no closed forms/iterative methods available. Most pricing will fall under categories of future simulations of default / loss/ prepay rates as a function of interest rates and then top a MC on it, to get waterfalls based on which prices will be determined. All this is highly dependent on each structure and the embedded tranches/triggers. Fitting Defaults/loss/ prepay rates are the 'easier' part as in there are standard forms available where most people will opt for some form of optimisation. But there is no 'book' on the rest as there is too much variability in each deal. As a reference, you could check the Andrew Davidson pipeline on the web, and they have a few good articles. Hope this helps.

Thanks for your answer BlackBoxMess. Unfortunately, you confirm my fear : there is no "standard" solution to this problem.It doesn't matter, I'm going to let express my creativity AmbP.S. : Nevertheless, if someone have good idea (for pricing an equity tranche of RMBS...)

yes, standard pricing for most equity tranches on subrpime RMBS, 0.

All depends on which side you are GammaSkimmer...