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CDO Loss Approximation
Stein’s method and zero bias transformation for CDO tranche pricing
We propose an original approximation method, which is based on Stein’s method and the zero bias transformation, to calculate CDO tranches in a general factor framework. We establish ﬁrst-order correction terms for the Gaussian and the Poisson approximations respectively and we estimate the approximation errors. The application to the CDO pricing consists of combining the two approximations.
, N. El Karoui, Y. Jiao (2008)
A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method
, E.Benhamou, D.Bastide, M.Ciuca (2007)
Higher Order Large Deviation Approximations Applied to Cdo Pricing
, L.Veilex (2007)
Saddlepoint approximation method for pricing CDOs
, J.Yang (2006)
A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
, P.Okunev (2005)
Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model
, P.Okunev (2005)
Tail Approximations for Portfolio Credit Risk
, P.Glasserman (2004)
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