CDO Modeling: Techniques, Examples and Applications
نویسنده
چکیده
: 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’ on the use of CDOs as capital market instruments, explains simulation and analytic approaches for evaluating CDOs and considers the notion of PD, EL and LGD of CDO tranches.
منابع مشابه
Significance of Chemical Decomposition of Chloroethyl Phenyl Sulfide (CEPS) using Zinc-Cadmium Oxide (ZnO-CdO) Nanocomposite
The zinc-cadmium oxide (ZnO-CdO) nanocomposites with different weight percentages of cadmium oxide (CdO) nanoparticles were successfully synthesized by the sonochemical method using zinc and cadmium nitrates as precursors to probe their nano-structured surfaces for the decomposition reactions of chloroethyl phenyl sulfide (CEPS) as a surrogate of sulfur mustard agent simulant. Scanning electron...
متن کاملSignificance of Chemical Decomposition of Chloroethyl Phenyl Sulfide (CEPS) using Zinc-Cadmium Oxide (ZnO-CdO) Nanocomposite
The zinc-cadmium oxide (ZnO-CdO) nanocomposites with different weight percentages of cadmium oxide (CdO) nanoparticles were successfully synthesized by the sonochemical method using zinc and cadmium nitrates as precursors to probe their nano-structured surfaces for the decomposition reactions of chloroethyl phenyl sulfide (CEPS) as a surrogate of sulfur mustard agent simulant. Scanning electron...
متن کاملChemical synthesis and characterization of Zn-doped cadmium oxide based nanoparticles: As nanofluids for thermophysical applications
Semiconductor nanoparticles are studied worldwide at present because of their good optical, physical and chemical properties. In this research work, a set of Zn doped cadmium oxide (Cd1-xZnxO1-δ) nanoparticles were synthesized by simple chemical precipitation route. The precursor materials used in this research work were cadmium nitrate and zinc nitrate (as basic materials) and sodium hydroxide...
متن کاملThe static hedging of CDO tranche correlation risk
This article gives examples illustrating the static hedging of CDO correlation risk. Changes in correlation result in changes in the relative portioning out of the total expected loss of a reference portfolio to the different tranches. Thus, portfolios with low correlation risk contains a number of CDO tranches whose weights are adjusted so that the daily changes in the mark-tomarket values of ...
متن کاملStudy of Composition and Morphology of Cadmium Oxide (Cdo) Nanoparticles for Eliminating Cancer Cells
The effects of substrate temperature on the structural, optical, medical and electrical characteristics of Cadmium Oxide (CdO) films are investigated in the current study. Films are deposited on glass substrate at different temperatures, ranged between 450–600 oC, using Spray Pyrolysis Technique. According to X– Ray Diffraction (XRD), it is found that the films are polycrystalline and Cadmium O...
متن کامل