Book ChapterDOI
CDO Valuation and Cash Flow Waterfall Models
Moorad Choudhry,Abukar Ali,Suleman Baig,James Croke,Jaffar Hussain,Zhuoshi Liu,Richard Pereira,Sharad Samy,Timo SchläFer,Daniel Sempere‐Roldan,Marliese Uhrig-Homburg +10 more
- pp 507-532
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The article was published on 2012-03-22. It has received 0 citations till now. The article focuses on the topics: Cash flow & Price/cash flow ratio.read more
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Journal ArticleDOI
On Default Correlation: A Copula Function Approach
TL;DR: In this paper, the authors introduce a random variable called "time-until-default" to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times.
Journal ArticleDOI
Understanding the Risk of Synthetic CDOs
TL;DR: In this article, the authors present a pricing model for synthetic CDO tranches that does not require Monte Carlo simulation, and use the model to analyze the risk characteristics of the tranches of synthetic CDOs.