Risk and Valuation of Collateralized Debt Obligations

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Post Your Résumé

For Recruiters

Today's Featured Book

Fischer Black and the Revolutionary Idea of Finance
by Perry Mehrling, Wiley, (June 24, 2005), Hardcover, 400 pages.

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

Risk and Valuation of Collateralized Debt Obligations

by Darrell Duffie of Stanford University, and
Nicolae Gârleanu of Stanford University

March 24, 2003

Abstract: This paper addresses the risk analysis and market valuation of collateralized debt obligations (CDOs). We illustrate the effects of correlation and prioritization for the market valuation, diversity score, and risk of CDOs, in a simple jump-diffusion setting for correlated default intensities.

Published in: Financial Analysts Journal, Vol. 57, No. 1, (January-February 2001), pp. 41-59.

Books Referenced in this Paper: (what is this?)