Risk and valuation of collateralized debt obligations

被引：231

作者：

Duffie, D ^{[1
]}

Gârleanu, N ^{[1
]}

机构：

[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2001年 / 57卷 / 01期

关键词：

D O I：

10.2469/faj.v57.n1.2418

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on valuation and discuss the "diversity score" (a measure of the risk of the CDO collateral pool that has been used for CDO risk analysis by rating agencies) in a simple jump diffusion setting for correlated default intensities.

引用

页码：41 / 59

页数：19

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