Valuing CDOs of ABSs

Class Notes

In the first of this pair of articles (Asia Risk March 2008, pages 50-53), we focused on the valuation of tranches of collateralised debt obligations (CDOs) referenced to corporate credits. This time, we turn to valuing tranches of CDOs of asset-backed securities (ABSs), with particular focus on CDOs of subprime residential mortgage-backed securities (RMBSs).

Valuing CDOs of ABSs (PDF, 182KB)

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