Valuation and Risk Management of Collateralized Debt Obligations and Related Securities
AbstractOver the course of a few decades, asset securitization has evolved into a vast and diverse financial instrument. Bases for the marketability of these securities are valuation and risk management techniques allowing for reasonable pricing formulas and hedging schemes. Therefore, a key issue is the modeling of cash flows of a portfolio of assets as well as the statistical modeling of uncertainties of such cash flows in the future. This article reviews some aspects of so-called collateralized debt obligations (CDOs) and related instruments. The modeling of underlying credit risks plays an important role in this context. As such, this review naturally has a special focus on the modeling of structured credit portfolios.
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Bibliographic InfoArticle provided by Annual Reviews in its journal Annual Review of Financial Economics.
Volume (Year): 3 (2011)
Issue (Month): 1 (December)
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Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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