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Tesis sobre el tema "Collateralized debt obligations"

Autor: Grafiati

Publicado: 4 de junio de 2021

Última modificación: 25 de enero de 2023

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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

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

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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12

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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13

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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14

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

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15

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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16

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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17

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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18

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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19

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

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20

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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21

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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22

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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23

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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24

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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25

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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26

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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27

Boman, Karin, and Émile Sohier. "Credit derivatives in Swedish banks : Both sides of the coin." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-72885.

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Background: The financial crisis of 2007-2010 had a massive impact on the financial markets worldwide. The crisis was partly blamed on the credit derivatives collateralized debt obligations and credit default swaps. These instruments were used to create leverage and speculation, which led to uncertainty in the financial system worldwide. There has been no recent documentation of how credit derivatives are used in Swedish banks, and what risks and opportunities they bring along. Purpose: The purpose of this thesis is to describe the use of credit derivatives in Swedish banks, what benefits and

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28

Melo, Pedro Ricardo Proença. "Credit dependencies : an analysis of European CDS and CDO contracts." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10367.

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Mestrado em Finanças<br>Este estudo tem como objetivo estudar o mercado europeu de CDS e CDO. Através de uma análise econométrica estimaremos a relevância de diversas variáveis para explicar o logaritmo das primeiras diferenças dos spreads das tranches do CDO baseado no iTraxx Europe 5-year. Assim, a nossa amostra é composta por dados diários desde Fevereiro de 2005 até Fevereiro de 2012 das tranches do iTraxx Main 5-year e de proxies para os riscos de crédito, taxa de juro, liquidez e para a volatilidade de mercado e rendibilidades do mercado acionista. Para aferir se houve alterações sig

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29

Thomas, Soby. "Residential mortgage loan securitization and the subprime crisis / S. Thomas." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4591.

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Many analysts believe that problems in the U.S. housing market initiated the 2008–2010 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry by causing the failure of many iconic Wall Street investment banks and prominent depository institutions. This crisis stymied credit extension to households and businesses thus creating credit crunches and, ultimately, a global recession. This thesis specifically discusses the SMC and its components, causes, consequences and cures in relation to subprime mortgages, securitization, as we

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30

Fadel, Sayed Mohammed. "Pricing basket of credit default swaps and collateralised debt obligation by Lévy linearly correlated, stochastically correlated, and randomly loaded factor copula models and evaluated by the fast and very fast Fourier transform." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/4902.

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In the last decade, a considerable growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth has parallelised by more complicated and assembled credit derivatives products such as mth to default Credit Default Swaps (CDS), m out of n (CDS) and collateralised debt obligation (CDO). In this thesis, the Lévy process has been proposed to generalise and overcome the Cre

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31

Fadel, Sayed M. "Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/4902.

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In the last decade, a considerable growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth has parallelised by more complicated and assembled credit derivatives products such as mth to default Credit Default Swaps (CDS), m out of n (CDS) and collateralised debt obligation (CDO). In this thesis, the Lévy process has been proposed to generalise and overcome

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32

Carvalho, Luís Manuel Lopes. "Default correlation implied from portfolio credit derivatives." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1652.

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Mestrado em Finanças<br>Despite the absence of good theoretical models to cope with credit portfolio issues, the development of credit derivative markets and the popularity of portfolio credit derivatives have created the need of handling the issue of default correlations in some way. In that context the copula models emerged and became extremely popular within the industry. In recent studies copula models have been criticized for not being flexible enough and for being a static approach. The recent turmoil on the Asset Backed Security market and the failure of Lehman Brothers, Inc brought to

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33

Holiš, Jakub. "Analýza Morgan Stanley v průběhu finanční krize." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15471.

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The main task of the diploma thesis is an analysis of financial performance and position of Morgan Stanley during several successive periods before and during the subprime financial crisis. Through the analysis of trends in key items, it also demonstrates strong cyclicality of financial performance and position of the investment bank. The first chapter deals with history and key divisions of the Company. The following chapter generally discusses selected phenomena, which, as per the author's view, significantly influenced industry-wide record-breaking performance during the period before the s

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34

Puzanova, Daria. "Americká ekonomická krize 2007-2009." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-10912.

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This diploma work describes the financial and economical crisis that has emerged in the USA during the year 2007. In the work the preceding recessions and the flow of the current crisis are being analyzed. Attention is also given to a detailed study of the pre-crisis period in the USA economics and the identification of the root causes of the crisis and their interrelationship. The final part of the work is dedicated to the examination of the crisis consequences and the possible ways of its progress

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35

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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36

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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37

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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38

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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39

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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40

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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41

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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42

Tsao, Ti-Jen, and 曹體仁. "An Investigation of Synthetic Collateralized Debt Obligations─Diversity Score and Tranching." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/88973114872102380104.

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碩士<br>國立中央大學<br>財務金融研究所<br>91<br>The purpose of this article is to describe the structuring process of Synthetic Collateralized Debt Obligations (synthetic CDOs) and diversity score effect. We first introduce the evolution of synthetic CDOs and their growth. Following this, we have a short discussion of rating process and rating methodologies. Next, we set up the filter rules of credit default swaps and the “waterfall” to construct a practical synthetic CDO, Silk Road. Finally, under different diversity score scenarios, we explore the influence of the diversity score on tranches’ performance.

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43

Huang, Po Han, and 黃柏翰. "Valuing and Hedging Collateralized Debt Obligations with the Implied Copula Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/55178075441882515122.

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碩士<br>國立政治大學<br>金融研究所<br>95<br>Collateralized debt obligations (CDOs) represent one of the fastest-growing credit derivatives of the structured finance world. In January 2007, the law has been promoted so that CDOs can be issued in Taiwan, including CLOs and CBOs. Thus, we can expect that these two kinds of CDOs will be main products in short future. There are many approaches to valuing CDOs, such as structural models, reduced-form models and credit barrier models. Copula models, which are sometimes classified as reduced-form models, represent the market standard for pricing CDOs. In this pape

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44

Lin, De Chang, and 林德昌. "The analysis of default correlation on Collateralized Debt Obligations（CDO） tranches." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/14797370939098872843.

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45

Jortzik, Stephan. "Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios." Doctoral thesis, 2006. http://hdl.handle.net/11858/00-1735-0000-0006-AFDB-5.

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46

Tsai, Kuo-Yi, and 蔡國逸. "Credit Default Index in Taiwan,The Application of Synthetic Collateralized Debt Obligations." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/53729572359446374373.

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碩士<br>國立中正大學<br>財務金融所<br>94<br>The main purpose of this study lies in that setting up one can reflect the overall index of the credit market situation of Taiwan immediately, and provide a set of standardized establishment process by enabling market investors to know the forming of the price of this credit default index more clearly. We hope to develop a lot of standardized index type credit derivative products with this credit default index, not only can offer investor more different ways to trade the credit risk, but also can improve the maturity levels of Taiwan credit market, so this resear

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Lin, Yu-Zhan, and 林鈺展. "The Valuation Method of Collateralized Debt Obligations with Considering Inflation Index - Copula Method." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/ps2uny.

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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士班<br>103<br>This paper uses different Copula methods including Gaussian Copula, Double t Copula with fat tail phenomenon and Normal Inverse Gaussian (NIG) Copula with fat tail and skewness phenomenon. And then this paper combines with a one factor model to price and compare traditional CDO and inflation-indexed CDO by using Monte Carlo simulation method. Furthermore, a sensitivity analysis is also conducted. This paper uses the first case of Collateralized Loan Obligation (CLO) issued by Land Bank of Taiwan Co., Ltd. in 2006 to investigate the numerical analy

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HO, Jung-Lin, and 何宗霖. "Application of Fitch Vector and CDO Evaluator Models in Valuing Collateralized Debt Obligations." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/12424399365910730606.

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碩士<br>輔仁大學<br>金融研究所<br>95<br>This study applies Fitch Vector and S&P CDO Evaluator model of the structural form to probe the price of Collateralized Debt Obligation in each tranche. First we must utilize these two models to estimate the joint loss probability function in the asset pool. Fitch Vector model and S&P CDO Evaluator model are both the simple commercial procedure model. Through the application of these two models, we calculate loss probability and relevant parameters and use credit swap model to estimate the credit spreads of discount cash flow. Those are the tranche’s interest rate

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Kao, Ming-Shun, and 高銘舜. "The Pricing and Hedging of Spot and Forward-Starting Collateralized Debt Obligations－via Default Contagion." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/12085876859275536071.

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碩士<br>國立暨南國際大學<br>財務金融學系<br>98<br>In this paper we investigate the valuation and hedging issues of spot and forward-starting collateral debt obligations（CDOs） under the conditional independence assumption and default contagion effect. We use the factor model that describes the firm value by Laurent and Gregory. We also apply the probability bucketing method of Hull and White（2004） to construct the reference pool loss distribution. No matter what the spot and forward-starting CDO, the tranche credit spread is consistently increasing when the contagion effect is more powerful. Moreover, we use t

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Shih, Kai-Chen, and 施凱程. "The Correlation Impact of Underlying on Prices of Synthetic Collateralized Debt Obligations and Basket Default Swaps." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/58956621148870041959.

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碩士<br>國立中央大學<br>財務金融研究所<br>93<br>We analyzed the pricing of the Synthetic Collateralized Debt Obligations (synthetic CDOs) and Basket Default Swaps (BDSs) with different correction by using Statistical techniques in this paper. Copula function is a good way in present survival analysis method because it can divide multivariate distribution into two parts. One is marginal distribution, and the other is dependent structure. Therefore, copula is popularly used in many academic researches now. To specify the survival times of the underlying securities by using Normal Copula, and using the anal

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