Why CDOs work - Risk.net

Jon Gregory
21 May 2014

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The growth of the structured credit market gave rise to many complex collateralised debt obligation (CDO) structures. An investment in a CDO can be broadly characterised as a return as compensation for exposure to a certain range of losses on a portfolio. Precise quantification of the risks in a CDO is complex since one needs to assess the multidimensional loss distribution for the underlying portfolio.

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