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CDO of CDO's
Posted: April 8th, 2004, 11:43 am
by hotone
Hi all,I am interested in pricing a CDO in which the underlyings are also CDO. Is there any paper on this? Is it already a product that is traded?Thanks in advance,Hotone
CDO of CDO's
Posted: April 8th, 2004, 1:30 pm
by Jet
Find a report called "Drill-Down Approach for Synthetic CDO Squared Transactions" from S&P website.It describes how to generate loss scenarios for CDO^2 by Monte Carlo. Mainly talks about real loss simulations butpricing should be straight forward as well.Jet
CDO of CDO's
Posted: April 8th, 2004, 1:53 pm
by hotone
I got it. It seems interesting indeed. Thank you Jet.