An empirical study of pricing and hedging collateralized debt obligation (CDO)

DOI10.1016/S0731-9053(08)22002-5MaRDI QIDQ3572007zbMATH OpenOpenAlexFDO

Authors Lijuan Cao, Zhang Jingqing, Kian Guan Lim, Zhonghui Zhao

Publication date 30 June 2010

Published in Econometrics and Risk Management (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(08)22002-5

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)

Recommendations

• A research of default correlation in collateralized debt obligation pricing
• Pricing a CDO on stochastically correlated underlyings
• Pricing collateralized debt obligations with Markov-modulated Poisson processes
• Pricing and hedging of CDOs: a top down approach
• Default intensities implied by CDO spreads: inversion formula and model calibration

Cited in

(15)

• Gaussian and Poisson approximation: applications to CDOs tranche pricing
• Pricing a CDO on stochastically correlated underlyings
• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• Normal approximation for call function via Stein’s method
• Pricing collateralized debt obligations with Markov-modulated Poisson processes
• Default intensities implied by CDO spreads: inversion formula and model calibration
• A structural jump-diffusion model for pricing collateralized debt obligations tranches
• Pricing and hedging of CDOs: a top down approach
• Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
• A research of default correlation in collateralized debt obligation pricing
• Risk analysis of collateralized debt obligations
• Rise and fall of synthetic CDO market: lessons learned
• PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
• A collateralized loan's loss under a quadratic Gaussian default intensity process

This page was built for publication: An empirical study of pricing and hedging collateralized debt obligation (CDO)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3572007)