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Valuation and Risk Management of Collateralized Debt Obligations and Related Securities

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Author Info

  • Christian Bluhm

    ()
    (FMS-Wertmanagement (Public Wind-Down Agency), Munich, Germany 80538
    Technical University of Munich, Munich, Germany 80333)

  • Christoph Wagner

    ()
    (FMS-Wertmanagement (Public Wind-Down Agency), Munich, Germany 80538
    Ludwig-Maximilians University, Munich, Germany 80539)

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    Abstract

    Over 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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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144835
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    Bibliographic Info

    Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

    Volume (Year): 3 (2011)
    Issue (Month): 1 (December)
    Pages: 193-222

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    Handle: RePEc:anr:refeco:v:3:y:2011:p:193-222

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    Related research

    Keywords: securitization; CDO; structural models; intensity models; dependency;

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