Risk and valuation of collateralized debt obligations

Authors
Duffie, D Garleanu, N
Citation
D. Duffie et N. Garleanu, Risk and valuation of collateralized debt obligations, FINANC ANAL, 57(1), 2001, pp. 41-59
Citations number
15
Categorie Soggetti
Economics
Journal title
FINANCIAL ANALYSTS JOURNAL
ISSN journal
0015198X → ACNP
Volume
57
Issue
1
Year of publication
2001
Pages
41 - 59
Database
ISI
SICI code
0015-198X(200101/02)57:1<41:RAVOCD>2.0.ZU;2-C
Abstract
In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritizati on 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 intens ities.