CDOs in Chains
نویسندگان
چکیده
This paper discusses the pricing of CDOs in a Markov chain framework. We show that in general the values of the legs satisfy systems of partial differential equations. In the special case of constant default intensities, one only needs to solve a system of ordinary differential equations, the so-called Kolmogorov differential equations.
منابع مشابه
On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
This paper aims to reveal the mechanism of Collateralized Debt Obligations (CDOs) and how CDOs extend the current global financial crisis. We first introduce the concept of CDOs and give a brief account of the development of CDOs. We then explicate the mechanism of CDOs within a concrete example with mortgage deals and we outline the evolution of the current financial crisis. Based on our overv...
متن کاملWorking Paper No. 11-30/r Collateral Damage: Sizing and Assessing the Subprime Cdo Crisis
and the staffs at the Federal Reserve Board and the Federal Reserve Banks of Boston, New York, and Philadelphia for helpful comments. The views expressed here are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. Abstract This paper conducts an in-depth analysis of structured finance asset-backed securities colla...
متن کاملCrossing Boundaries: Organization Design Parameters Surrounding CDOs and Their Digital Transformation Activities
More and more companies are installing Chief Digital Officer (CDO) positions in order to support the progress of their digital transformation. Since the employment of CDOs may influence companies’ organizing logics, we conducted a multiple case study analysis to investigate the organization design parameters surrounding CDOs and their digital transformation activities. By examining the governan...
متن کاملCDO Modeling: Techniques, Examples and Applications
: Collateralized debt obligatons (CDOs) constitute an important subclass of asset backed securities. The evaluation of CDOs relies on mathematical modeling and on simulation as well as analytic and semi-analytic approaches, depending on the underlying asset pool and the cash flow structure of the transaction. This paper is an introductory survey on CDO modeling. It starts with a ‘mini course’ o...
متن کاملThree Types of Chief Digital Officers and the Reasons Organizations Adopt the Role
Digital innovation impacts every industry, and in response many organizations have introduced a new leadership role—the chief digital officer (CDO). Based on interviews with CDOs from various sectors, we have identified three types of CDOs—digital accelerators, digital marketers and digital harmonizers—and three domains where successful CDOs build digital capabilities (digital innovation, data ...
متن کامل