An empirical study of pricing and hedging collateralized debt obligation (CDO)
DOI10.1016/S0731-9053(08)22002-5zbMATH Open1189.91202OpenAlexW26973710MaRDI QIDQ3572007FDOQ3572007
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
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
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)
Cited In (15)
- Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
- Gaussian and Poisson approximation: applications to CDOs tranche pricing
- Pricing collateralized debt obligations with Markov-modulated Poisson processes
- Normal approximation for call function via Stein’s method
- 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
- Rise and fall of synthetic CDO market: lessons learned
- Pricing a CDO on stochastically correlated underlyings
- From insurance risk to credit portfolio management: a new approach to pricing CDOs
- 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
- Risk analysis of collateralized debt obligations
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)
