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Pricing synthetic CDOs using a three regime Random-Factor-Loading Model

Messow, Philip - 2012

Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius...

Persistent link: https://www.econbiz.de/10009579285

Fear of fire sales, illiquidity seeking, and credit freezes

Diamond, Douglas W.; Rajan, Raghuram Govind - In: The quarterly journal of economics 126 (2011) 2, pp. 557-591

Persistent link: https://www.econbiz.de/10009356115

Hedging CDO tranches in a Markovian environment

Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61

Persistent link: https://www.econbiz.de/10009356720

Valuation and risk management of collateralized debt obligations and related securities

Bluhm, Christian; Wagner, Christoph - In: Annual review of financial economics 3 (2011), pp. 193-222

Persistent link: https://www.econbiz.de/10009500819

Optimal securitization with moral hazard

Hartman-Glaser, Barney; Piskorski, Tomasz; Tchistyi, Alexei - In: Journal of financial economics 104 (2012) 1, pp. 186-202

Persistent link: https://www.econbiz.de/10009550139

Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 2012

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...

Persistent link: https://www.econbiz.de/10009531437