search query: @author Duffie, D. / total: 13
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| Author: | Duffie, D. Garleanu, N. |
| Title: | Risk and Valuation of Collateralized Debt Obligations |
| Journal: | Financial Analysts' Journal
2001 : JAN-FEB, VOL. 57:1, p. 41-59 |
| Index terms: | RISK DIVERSITY DEBT |
| Language: | eng |
| Abstract: | This paper considers a discussion of risk analysis and market valuation of collateralized debt obligations. The authors 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. In conclusion, the authors state that regarding alternative computational methods, (risk neutral) diversity can be evaluated accurately, which is computationally simple in the framework proposed by authors. These scores can be used to obtain good approximate market valuations for reasonably well-collateralized tranches. |
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