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Empirical test while pricing synthetic CDOs
Dear all,I am currently writing my thesis on pricing CDOs in copula- and factor models framework (and base correlations with for non-standard tranches). However, I am required to do empirical tests during my work, and currently I can't think of any. Furthermore, I haven't seen any empirical tests in academic papers regarding the subject at hand. So I would deeply appreciate any guidance and help. Thank you in advance.
Empirical test while pricing synthetic CDOs
If you do a Google search, search on SSRN, or look at DefaultRisk.com there are quite a few papers that discuss various methods of pricing CDOs
Empirical test while pricing synthetic CDOs
This is really informative reply. Thank you. As I have mentioned, I haven't found any info on empirical tests linked to CDO pricing in academic papers. I hope I have missed something. However, I have asked Goggle and I have checked DefaultRisk and books on this subject before asking the question.
Empirical test while pricing synthetic CDOs
Francis Longstaff and Arvind Rajan- "An empirical analysis of the pricing of collateralized debt obligations".