Una Contribución a la Valuación de los Synthetic CDO

Abstract

The Credit Default Swap (CDS) is the most popular credit derivative and it is used as an insurance against the risk of default by a particular company, known as a reference entity. If a portfolio of debt instruments is created with a complex structure where the cash flows from such portfolio are channeled to different categories of investors, we have a collateralized debt obligation (CDO). If the CDO is formed by a portfolio of CDS it is called a Synthetic CDO. The synthetic CDO transfers to market the credit risk of the portfolio. In this paper I describe the synthetic CDO valuation process and I propose an algorithm in order to get the fair price of tranches that do not require Monte Carlo simulation or Copulas, even with different notional principal values.Derivados de crédito, riesgo de crédito, collateralized debt obligation.