Collateralised debt obligation (cdo)
Pricing synthetic collateralized debt obligations based on exponential...
Correlation-dependent derivatives, such as asset-backed securities and collateralized debt obligations (CDOs), are common tools for offsetting credit risk. Factor models in the conditional independence...
Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong...
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
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More Collateralised debt obligation (cdo) articles
"Deceptive and negligent": How the first CPDO got its AAA rating
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of an AAA rating to ABN Amro’s Surf constant proportion debt obligation in 2006. Lukas Becker reports
A cracking time: Banks turn to CDO unwinds
Banks are getting rid of legacy collateralised debt obligations by cracking them open and selling the collateral – a trend driven by investor demand for the assets and growing capital pressure on the banks. But it can be costly, complicated and even...
Optimal structuring of collateralized debt obligation contracts: an...
The objective of this paper is to help a bank originator of a collateralized debt obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective is to select attachment/detachment points...
Volume 8/Number 4, Winter 2012/13
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three research papers and one technical report. The issue's first research paper is "Bounds for rating override rates" by Dirk Tasche. This paper examines an...
Dual quantization for random walks with application to credit derivatives...
We propose a new quantization algorithm for the approximation of inhomogeneous random walks, which are essential for the valuation of collateralized debt obligation (CDO) tranches in latent factor models. This approach is based on a dual quantization...
Risk 25: Cutting edge classics
In October 2001, two prescient articles drew attention to the Gaussian copula model – that would play such a crucial role in the crisis to come – and anticipated the methods regulators are now exploring to capitalise market liquidity risk
Stress test struggle: separating liquidity and market risks
The financial crisis has been marked by episodes of extreme illiquidity, affecting everything from collateralised debt obligations to government bonds, but there has been little attempt to reflect these risks in stress tests. Some banks are building tests...
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