Collateralised debt obligation (cdo)
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...
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...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Collateralised debt obligation (cdo) articles
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...
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
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...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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