منابع مشابه
Risk Analysis of Collateralized Debt Obligations
Collateralized debt obligations, which are are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stocha...
متن کاملThe Hidden Correlation of Collateralized Debt Obligations
We propose a model for the correlation structure of reference portfolios of collateralized debt obligations. The model is capable of exhibiting typical characteristics of the implied correlation smile (skew, respectively) observed in the market. Moreover, it features a simple economic interpretation and is computationally inexpensive as it naturally integrates into the factor model framework.
متن کاملSimulation Methods for Risk Analysis of Collateralized Debt Obligations
Collateralized Debt Obligations (CDOs) are sophisticated financial products that offer a range of investments, known as tranches, at varying risk levels backed by a collateral pool typically consisting of corporate debt (bonds, loans, default swaps, etc.). The analysis of the risk-return properties of CDO tranches is complicated by the highly nonlinear and time dependent relationship between th...
متن کاملAn Incomplete-Market Model for Collateralized Debt Obligations
This article describes a model that appropriately treats the incompletemarket aspects of collateralized debt obligations (CDO’s). The model is a term-structure model that can be calibrated so that it precisely reproduces, in terms of a single set of model parameters, the market values of the prices of contracts on a number of different tranches and having a number of different maturities for ea...
متن کاملChange Analysis of Default Correlation and Dynamic Pricing of Collateralized Debt Obligations∗
In this paper we use dynamic copulas method to price a CDO. We apply GOF test and binary segmentation procedure to detect the change of copula function. According to the result of the change point, we divide the time series into nine stages. In each stage, we use the best copula function to describe the default correlation. Our empirical results show that in different time period, the best copu...
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ژورنال
عنوان ژورنال: Skola biznisa
سال: 2012
ISSN: 1451-6551
DOI: 10.5937/skolbiz1203029d