An Empirical Study of Pricing and Hedging Collateralized Debt Obligation

• المؤلفون الرئيسيون: Cao, Lijuan, Zhang, Jingqing, LIM, Kian Guan, ZHAO, Zhonghui
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Collateral debt obligation (CDO) pricing; Monte Carlo; Default correlation; Copula; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/974; https://doi.org/10.1016/S0731-9053(08)22002-5

This paper studies the pricing of collateralized debt obligation (CDO) using Monte Carlo and analytic methods. Both methods are developed within the framework of the reduced form model. One-factor Gaussian Copula is used for treating default correlations amongst the collateral portfolio. Based on th...