Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2256
Título: On the Pricing of CDOs
Autor: Gaspar, Raquel M.
Schmidt, Thorsten
Data: 2007
Editora: ISEG – Departamento de Gestão
Citação: Gaspar, Raquel M. e Thorsten Schmidt. 2007. "On the Pricing of CDOs". Instituto Superior de Economia e Gestão – Departamento de Gestão Working papers series nº 4-2007
Relatório da Série N.º: Working papers series;nº 4-2007
Resumo: This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swaps and collateralized debt obligations (CDOs). We use the recent model of Gaspar and Schmidt (2007) for the pricing of theses portfolio credit derivatives. This approach combines general quadratic models for term structures with shot-noise models and therefore naturally solves a number of important issues in credit portfolio risk. First, resulting pricing formulas are in closed form and therefore the model implementation is straightforward. Second, this class of models is able to incorporate well-known features of credit risky markets: realistic default correlations, default clustering and correlation between short-rate and credit spreads. Third, the recent turbulence in credit spreads caused by the U.S. subprime mortgage turmoil can be captured well.
Descrição: This work as been published as a book chapter. Due to restrictions imposed by the Editor, it is no longer available for download as a working paper. Recommended citation is: • Gaspar, R.M. and T. Schmidt (2008), "On the Pricing of CDOs", in Credit Derivatives (Edited by P.U. Ali and G. Gregouriou), Chapter 11, McGraw-Hill.
URI: http://hdl.handle.net/10400.5/2256
ISSN: 0874-8470
Versão do Editor: http://www.iseg.utl.pt/departamentos/gestao/wp/N4_2007.pdf
Aparece nas colecções:DG - Documentos de trabalho / Working Papers

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
N4_2007.pdf47,33 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.