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| Higher Order Large Deviation Approximations Applied to CDO Pricing by Laurent Veilex of Credit Suisse February 2007 Abstract: We propose a Large Deviation approximation for the loss distribution of a credit portfolio and compare it as well as higher order Saddle-point and Edgeworth expansions with the standard recursion method for the pricing of CDO tranches. Keywords: Edgeworth expansions, Large Deviation Approximations, Gram-Charlier expansions, Saddle-point, base correlation, CDO, copula, local correlation. Books Referenced in this paper: (what is this?)
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