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Dissertations / Theses on the topic 'Debt obligations'

Author: Grafiati
Published: 30 May 2022
Last updated: 31 July 2025

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1

Brommundt, Bernd Michael. "Advances in the pricing of collateralized debt obligations /." lizenzfrei, 2009. http://www.gbv.de/dms/zbw/610285289.pdf.

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2

Iscanoglu, Cekic Aysegul. "Pricing And Hedging Of Constant Proportion Debt Obligations." Phd thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613112/index.pdf.

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A Constant Proportion Debt Obligation is a credit derivative which has been introduced to generate a surplus return over a riskless market return. The surplus payments should be obtained by synthetically investing in a risky asset (such as a credit index) and using a linear leverage strategy which is capped for bounding the risk. In this thesis, we investigate two approaches for investigation of constant proportion debt obligations. First, we search for an optimal leverage strategy which minimises the mean-square distance between the final payment and the final wealth of constant proporti
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3

Peretyatkin, Vladislav. "Valuation and risk analysis of collateralised debt obligations." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/11861.

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4

Linley, Christopher. "Modelling dependance in collateralied debt obligations with copulas." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/4903.

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In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence using numerical results obtained from Monte-Carlo simulation.
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5

Kübler, Martin. "Collateralized Debt Obligations - are they attractive for investors?" [S.l. : s.n.], 2005. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB11811280.

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6

Schiefer, Dirk. "Collateralized debt obligations : (CDOs) ; eine empirische Analyse der Bonitätsrisikoprämie auf Finanzmärkten /." Bad Soden/Ts. : Uhlenbruch, 2008. http://d-nb.info/988368781/04.

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7

Schaber, Albert. "Collateralized debt obligations : first loss piece retention, combination notes, and tranching /." Frankfurt, M. ; Berlin Bern Bruxelles New York, NY Oxford Wien : Lang, 2009. http://d-nb.info/996543309/04.

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8

Wallner, Naomi K. "Modelling correlated default and the valuation of collateralized debt obligations." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413522.

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9

Jortzik, Stephan. "Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolio /." [S.l. : s.n.], 2005. http://swbplus.bsz-bw.de/bsz261593773inh.pdf.

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10

TASSINARI, Gian Luca. "Pricing equity and debt tranches of collateralized fund of hedge funds obligations." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/64.

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11

Neier, Mark. "Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation." Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2308.

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12

Link, Nathan Wong. "Paid Your Debt to Society? Legal Financial Obligations and Their Effects on Former Prisoners." Diss., Temple University Libraries, 2017. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/463121.

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Criminal Justice<br>Ph.D.<br>Within the last decade, scholars and practitioners alike have noted a surge in the use of legal financial obligations (LFOs) in criminal justice processing. These include fines, fees, and costs that are applied to defendants’ cases from “upstream” agencies such as police departments to “downstream” agencies including jails, prisons, probation and parole agencies, and treatment centers. Legal financial obligations can be large, and the result is that outstanding balances often accumulate into unwieldy amounts of criminal justice debt. Recently, a small handful of qu
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13

Platon, Dmitrii <1987&gt. "Cartolarizzazione dei crediti. Un modello di contagio per la valutazione delle Collateralized Debt Obligations (CDOs)." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/7054.

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Le analisi condotte sulla recente crisi finanziaria hanno messo in evidenza il ruolo che ha avuto il massiccio ricorso alle operazioni di cartolarizzazione, soprattutto da parte delle banche, configurandosi tra i principali driver della crisi. Tra i prodotti collegati alle operazioni di cartolarizzazione, assumono particolare rilievo i Collateralized Debt Obligation (CDO): derivati creditizi che permettono di trasferire il rischio di credito connesso al portafoglio di attività sottostanti dal soggetto cedente al mercato. La scarsa trasparenza informativa, nonché la complessità tecnica e strut
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14

Berg, Florian. "Extra-Financial Risk Factors and the Cost of Debt." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED030/document.

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Cette thèse a pour ambition d’analyser si la performance environnementale, sociale et de gouvernance (ESG) est intégrée par les marchés de la dette d'entreprise et souveraine. Le premier chapitre se concentre sur les informations ESG publiés à contenu négatif et leur impact négatif sur le coût de la dette. Plus exactement, dans les secteurs industriels et utilitaires les événements négatifs sociaux et de gouvernance font augmenter le coût de la dette. Également, un bon niveau général de performance ESG agit comme un mécanisme d'assurance contre ces événements négatifs. Dans un deuxième chapitr
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15

Rajani, Asif Ali Kabiruddin. "Subprime Crisis, Systematic Risk and Arbitrage." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4320.

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Mestrado em Matemática Financeira<br>The financial market turmoil of 2007 and 2008 was the most severe recession seen after the Great Depression. The economic momentum, previous to the crisis, created a strong demand for AAA securities that was not available on single bond market. This motivated arrangers to issue high volumes of structured finance securities, collateralized by subprime Residential Mortgage-Backed Securities. Most of the AAA investors based their choices uniquely based on Credit Rating Agencies' assessment that taken into account Probabilities of Default or Expected Losses but
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16

Zapata, Ramirez Javier Andrés. "Análisis de Estabilidad de las Calificaciones de Riesgo Crediticio de CDOS Sintéticos." Tesis, Universidad de Chile, 2011. http://repositorio.uchile.cl/handle/2250/104016.

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El objetivo de este trabajo es analizar la estabilidad de las calificaciones de riesgo crediticio (ratings) de un tipo de derivados de crédito conocido como synthetic Collateralized Debt Obligations (CDO sintéticos). Durante la crisis subprime gatillada el 2007, la mayoría de los derivados de crédito tipo CDO tuvo un muy mal desempeño. Debido a que cada CDO poseía una calificación de riesgo crediticio, este mal desempeño evidenció la falta de precisión de los ratings de las agencias calificadoras. En este contexto, este trabajo se enfoca en los CDO sintéticos, por dos motivos. Primero, pues
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17

Садовник, В. А. "Сучасний стан та тенденції розвитку міжнародного ринку боргових зобов’язань". Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Sadovnik.pdf.

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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижче<br>У роботі розглядаються теоретичні аспекти засади функціонування міжнародного ринку боргових зобов’язань: досліджена сутність боргових зобов’язань та їх роль у міжнародному фінансуванні; розглянуте поняття та основи функціонування міжнародного ринку боргових зобов’язань; охарактеризовані основні інструменти міжнародного ринку боргових зобов’язань. Проаналізовано практичні аспекти функціонування міжнародного ринку боргових зобов’язань в сучасних умовах: розглянуті особливості еволюційного розвитку
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18

Houdain, Julien. "Valorisation et gestion de dérivés de crédit : les CDOs synthétiques ou la croissance exponentielle des produits de corrélation." Cachan, Ecole normale supérieure, 2006. http://www.theses.fr/2006DENS0054.

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Ce travail de thèse repose sur l'utilisation de méthodes quantitatives pour la valorisation et la gestion de structures de type CDOs synthétiques. Nous illustrons les limites des approches standards et développons une méthode de valorisation novatrice fondée sur l'utilisation de la distribution normale inverse gaussienne (NIG) et de niveaux de corrélation historiques. Nous comparons ces différentes approches et en étudions l'impact sur la gestion des tranches. Nous élargissons ensuite nos recherches aux tranches de CDO^2 et développons deux méthodes originales pour la valorisation de ces produ
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19

Richards, Paul Howard. "Pecking order and trade-off explanations of capital structure and the maturity structure of corporate debt obligations." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8429/.

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It is shown i) that the under-investment problem is caused by the debt-equity mix of the financing rather than the investment itself and that a transfer of value (from shareholders to debt-holders) can be reversed by a post-investment adjustment in capital structure that restores the pre-investment gearing ratio. This simple, low-cost solution is preferable to reducing debt maturity (as in Myers (1977)) or gearing; ii) that transfers in value from debt-holders to shareholders to promote over-investment are not sustainable since investors will seek to avoid being disadvantaged by demanding high
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20

Mockienė, Akvilė. "Is the insolvency of the State legitimate basis to suspend or repudiate on international financial obligations?" Master's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2009~D_20090730_144742-25837.

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The author of this thesis raised question if the insolvency of a State is the legitimate basis for suspension or repudiation on international financial obligations. Since there is no uniform way to deal with the issue, the attention is given to different practices and guidelines of court’s reasoning. In order to answer the legal question, prove or neglect the hypothesis and fulfill goals descriptive, analytical and comparative methods are used. The paper consists of four major parts and proceeds in the following order. Part one provides general understanding of State as subject of internation
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21

Owlett, Robert H. "A Re-Examination of Rating Shopping and Catering using Post-Crisis Data on CDOs." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1408.

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I re-examine “rating shopping” and “rating catering” in the market for AAA rated collateralized debt obligations (CDOs) by replicating the study of Griffin and Tang (2013) using post-crisis data. I find a sharp increase in the amount of CDOs that received a single rating, suggesting that CDO underwriters were more cautious about formally soliciting multiple ratings. However, I also find a decrease in AAA rating disagreements between S&P and Moody’s, implying that issuers shopped their CDOs through informal conversations with agencies. Finally, I find investors correctly accepted tighter credit
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22

Correia, João Pedro Barata. "Are CDOs the beauty or the beast of financial markets?" Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11382.

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Mestrado em Finanças<br>A crise financeira de 2007-2010 começou nos EUA e rapidamente se espalhou pelo mundo. Os Collateralized Debt Obligations (CDOs) estiveram fortemente envolvidos na formação e propagação da mesma. Neste trabalho vamos apresentar e estudar o produto. É analisada a história desde a sua criação, com um ênfase especial sobre a sua participação na recente crise financeira e expostos os seus principais problemas e vantagens. Numa segunda parte, o trabalho aborda três casos para a utilização futura dos CDOs. Três diferentes possibilidades são analisadas: (i) European Safe Bonds
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23

Leshem, Ela A. "The state as a moral person and the problem of transgenerational binding." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:52a5b68f-a55c-41e9-8c31-4cc1285a7c85.

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Modern states are committed to the implicit assumption that one generation has the normative power to bind later generations through laws and contracts. My dissertation explores this assumption through two case studies: constitutions and sovereign debt contracts. I show that in both cases the assumption of transgenerational binding shapes the legal practices and doctrines of modern states. It informs, for instance, the ratification of eternity clauses, the interpretation of constitutions, and the doctrines of sovereign immunity and odious debt. But although these practices of transgenerational
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24

Löhr, Sebastian [Verfasser]. "Essays on collateralized debt obligations and credit default swaps : dynamic correlation modeling, measuring systematic risk, and cross-sectional pricing of common risks / Sebastian Löhr." Hannover : Technische Informationsbibliothek und Universitätsbibliothek Hannover (TIB), 2013. http://d-nb.info/1041652135/34.

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25

Collette, Stephanie. "Sovereign bonds: odious debts and state succession." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209718.

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Though sovereign debts are often viewed as risk-free assets, some extreme events may lead to the repudiation of these debts. A large literature has been devoted to the motivations of repayment and to the causes of default. The impact of wars, which may lead to the repudiation of sovereign debt, on sovereign bond prices has also been analyzed. However, the impact of other types of seldom occurring but dramatic events, which may lead to the repudiation of debts, on bond prices has been overlooked. My current research aims to analyze three of them: the repudiation of debts because of their allege
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26

Loulit, Ahmed. "Valuing credit risky bonds: generalizations of first passage models." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210756.

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This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from
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27

Pulby, Baptiste. "Le régime de l’obligation in solidum à la dette douanière." Electronic Thesis or Diss., Normandie, 2024. http://www.theses.fr/2024NORMR054.

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Cette thèse propose une étude du régime de l’obligation à la dette douanière lorsqu’elle implique plusieurs débiteurs, en se basant sur la notion d’obligation in solidum. Cette obligation a été retracée depuis ses origines pénales jusqu’à sa dégradation en un simple dérivé de l’obligation solidaire au XXe siècle. L’analyse des sources romaines met en lumière ses caractéristiques fondamentales de l’obligation in solidum, qui la singularisent de l’obligation solidaire. Sur le plan structurel, l’obligation in solidum se distingue par une structure reposant sur la pluralité d’objets individuels po
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28

Waibel, André. "Das Risiko verbriefter Forderungen Grundlagen, Ratingverfahren und Problemfelder." Hamburg Diplomica-Verl, 2006. http://d-nb.info/986496960/04.

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29

Waibel, André. "Das Risiko verbriefter Forderungen : Grundlagen, Ratingverfahren und Problemfelder /." Hamburg : Diplomica Verl, 2007. http://www.diplom.de/katalog/arbeit/10487.

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30

Wang, Qian. "Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives /." Lohmar [u.a.] : Eul, 2006. http://deposit.ddb.de/cgi-bin/dokserv?id=2790901&prov=M&dok_var=1&dok_ext=htm.

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31

Park, Ilhyung. "Objects in Samuel Beckett's prose works : possessions, inventories, gifts." Thesis, University of Sussex, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341071.

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32

Sturk, Madeleine, and Evertsson Marina Valkonen. "Reclassifications of financial intstruments in the Nordic countries : The effects of the reclassification amendments on Nordic banks financial statements of 2008 and 2009." Thesis, Jönköping University, JIBS, Accounting and Finance, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12995.

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<p>Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 <em>Financial instruments: recognition and measurement </em>and IFRS 7 <em>Financial instruments: disclosures</em> in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009.</p><p>The re
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33

Hager, Svenja. "Pricing portfolio credit derivatives by means of evolutionary algorithms." Wiesbaden Gabler, 2007. http://d-nb.info/98714362X/04.

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34

Hager, Svenja. "Pricing portfolio credit derivatives by means of evolutionary algorithms." Wiesbaden : Gabler, 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016575308&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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35

Morkötter, Stefan. "Ratingprozesse als Determinante für Informationsineffizienzen bei CDO-Transaktionen." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04608386001/$FILE/04608386001.pdf.

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36

Pichler, Marc. "Asset backed securities - ein innovatives Finanzierungsinstrument am Kapitalmarkt /." [Hamburg] : Igel-Verl, 2009. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=017556645&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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37

Kulak, Jan Peter. "An Empirical Analysis of the Gaussian and the Double-t Copula Models for Pricing and Hedging Index CDOs." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04607867001/$FILE/04607867001.pdf.

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38

Eggenberger, Christina. "Herausforderungen für die Unternehmenssanierung durch den Sekundärmarkt für Kredite und Kreditrisiken am Beispiel des Distressed Debt Tradings und der Verbriefung." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03604428002/$FILE/03604428002.pdf.

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von, Cramer-Klett Ludwig. "Real Estate Structured Finance." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04602454001/$FILE/04602454001.pdf.

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40

Gréau, Fabrice. "Recherche sur les intérêts moratoires /." Paris : Defrénois, 2006. http://www.gbv.de/dms/spk/sbb/recht/toc/524596786.pdf.

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Коцюбська, О. В. "Теоретико-методичні питання обліку, контролю, аналізу та оподаткування розрахунків з дебіторами та кредиторами (на прикладі ТОВ «ПРАЙМ-НЕТ»)". Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12401.

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У роботі розглядаються теоретичні основи обліку розрахунків з дебіторами і кредиторами: питання економічної сутності розрахункових операцій, їх класифікації, порядок визнання та оцінки дебіторської заборгованості і зобов’язань підприємства, особливості міжнародного обліку розрахунків з дебіторами, а також практичні аспекти обліку, оподаткування, аналізу та внутрішнього контролю розрахунків з дебіторами і кредиторами на ТОВ «ПРАЙМ-НЕТ». Результати аналізу свідчать, що період інкасації дебіторської заборгованості був значно меншим за період обороту по кредиторські заборгованості, також управлін
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42

Benseghir, Chama. "Les limites contemporaines à la liberté de distribuer les crédits bancaires." Thesis, Sorbonne Paris Cité, 2017. http://www.theses.fr/2017USPCB243.

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La dernière crise financière et les crises des dettes souveraines successives ont mis en lumière l'enjeu majeur de l’encadrement du marché de la distribution du crédit bancaire. Le principal questionnement aura porté sur la nécessité, sinon l’opportunité, de sacrifier « un peu de liberté » pour un « peu de sécurité » dans le processus de distribution du crédit. À ce titre, deux voies ont fondamentalement cohabité dans la mise en place de limites à la une liberté totale. D’une part, les législateurs et organes réglementaires ont entrepris, du niveau interne au niveau international, en passant p
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43

Lee, Fu-Ching, and 李福慶. "Valuation of Collateralized Debt Obligations." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/01527688689619846985.

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博士<br>淡江大學<br>管理科學研究所博士班<br>96<br>After 2002, many originators turn to consider various bespoke tranches of other CDOs (including standardized contract of CDS Index) as underlying of collateral for both raising the return of its tranches and diversifying underlying of its collateral. The type of exotic CDOs is referred to as Synthetic CDO-Squared. Currently, the Taiwanese financial industry is going through a period of transformation. The banks face not only the pressure of operating pressures owing to declining interest rate, but also the pressure to control credit risk on loans. Additionally
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44

Erasmus, Paul Jacobus. "Valuation models for credit portfolios and collateralised debt obligations." Diss., 2010. http://hdl.handle.net/2263/29359.

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In this dissertation we study models for the valuation of portfolios of credit risky securities and collateralised debt obligations. We start with models for single security of the reduced form type and investigate means of extending these to the portfolio level concentrating on default dependence between obligors. The Gaussian copula model has become a market standard and we study how the model deals with dependence between portfolio constituents. We implement the model and confirm analytical formulae for certain risk measures. Simplifying assumptions made eases implementation of this model b
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45

Peng, Hsing-Yu, and 彭星與. "Valuation and Analysis of Inflation-Protected Collateralized Debt Obligations." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/959snn.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>96<br>As for Collateralized Debt Obligations (CDO), sponsors can early get their funds to invest. Also, they can diverge default risk. But for the investors who buy the tranches of CDO, they have to bear the default risk of an asset pool and inflation risk especially in high oil price periods. In order to protect the investor’s real profits, this article expands the Meneguzzo and Vechiato (2002) model to present a general-form model. This model can not only keep the properties of an ordinary CDO but also protect investors from inflation risk. The empirical resul
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46

Huang, Wu Jen, and 黃巫任. "Pricing Collateralized Debt Obligations– Copula Model and Sensitivity Analysis." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/24499533094209894267.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>99<br>Due to its versatility, collateralized debt obligation (CDO) products have gained its notorious popularity in the market. One important issue of CDO products is on the effectiveness of its credit risk management. Due to its structural characteristic of the assets in the asset pool upon which the CDO depends, we are mainly focus on the discussion of robustness evaluation under variety of copulas and marginal distribution. Through simulation and empirical studies, the main aim of this paper is to explore the impact on fair spread calculation for the choices of t
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47

Lin, Yi-Shan, and 林意珊. "Valuing Index Collateralized Debt Obligations Tranches－Using Implied Copula." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/88694551828005077899.

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碩士<br>國立交通大學<br>科技管理研究所<br>96<br>Asset Securitization originated in the 1970’s. As Southeast Asia and Korea’s financial crises struck the financial market, financial institutions could not collect debts because of the credit defaults caused by the bankrupt companies, and therefore Credit Derivatives were used to hedge credit risks. The Subprime Mortgage crisis which is an ongoing global economic problem started in the United States in late 2006 and began with the bursting of the housing bubble. It made major financial institutions face significant losses from investments in Mortgage Backed Sec
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48

Huang, Jie-Lin, and 黃介琳. "Application for Pricing Collateralized Debt Obligations with Copula Method." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/10433919479231841564.

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碩士<br>雲林科技大學<br>財務金融系碩士班<br>97<br>Issuing collateralized debt obligations (CDOs) accelerates the liquidity of debt in the financial market. Financial institutions can efficiently manage debt and reduce the risks of assets by using CDO products. Meanwhile, CDO is another financial instrument for speculators, arbitrageurs, and hedgers. However, the default probability for each individual assets and the dependence of the assets determine the complexity of the measurement for CDO risks. Additionally, the default factors affect the spreads of CDO tranches. Therefore, this article studies the defaul
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49

Hsu, Chih-Fan, and 徐治帆. "Valuing Collateralized Debt Obligations Using a Dynamic Implied Copula Approach." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/37976648884789030273.

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碩士<br>國立臺北大學<br>統計學系<br>99<br>Collateralized debt obligation (CDO) develops very fast in recent years. The default loss in the asset pool is divided into a number of tranche, each tranche to bear the corresponding loss range in the asset poll. Banks can use this product to diversity their risks and increase the liquidity of their assets. For investors, they can select specific tranche investment according to their risk appetite and expected returns. The factor copula model (Li, 2000) is widely used to evaluate credit derivatives due to its simplicity and computational efficiency. However, it
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Juang, Jeng-Shian, and 莊政憲. "Research of Collateralized Debt Obligations Using a Reduced Form Model." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/27863381188911108647.

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碩士<br>國立成功大學<br>財務金融研究所<br>94<br>With the weeding out the old and bringing forth the new of assets securitization and credit derivatives, the development of the credit risk models is from estimating the default probability of single entity to default correlation of multi-entities.The most discussed approach for estimating these default correlations is to use a structural model in conjunction with a copula function. Therefore, Jarrow and Deventer used a reduced-form model to estimate default correlations in 2005. It can avoid the problem of structural model in conjunction with a copula function
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