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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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Synthetic Collaterallized Debt Obligations (CDOs) have enjoyed very rapid growth in the credit derivatives market. However, the valuation of such multi-credit instruments remains very challenging. In this talk, we focus
on the issue of hedging such instruments and discuss how to bridge "traditional" credit valuation with "modern" credit valuation. Some practical issues around computing accurate hedge ratios are also discussed.
