On the pricing of CDOs
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/23640 |
Resumo: | This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swaps and collateralized debt obligations (CDOs). We use the recent model of Gaspar and Schmidt (2007) for the pricing of theses portfolio credit derivatives. This approach combines general quadratic models for term structures with shot-noise models and therefore naturally solves a number of important issues in credit portfolio risk. First, resulting pricing formulas are in closed form and therefore the model implementation is straightforward. Second, this class of models is able to incorporate well-known features of credit risky markets: realistic default correlations, default clustering and correlation between short-rate and credit spreads. Third, the recent turbulence in credit spreads caused by the U.S. subprime mortgage turmoil can be captured well. |
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On the pricing of CDOsPortfolio Credit DerivatesCredit Portfolio RiskShort-RateCredit SpreadsSubprime Mortgage TurmoilThis chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swaps and collateralized debt obligations (CDOs). We use the recent model of Gaspar and Schmidt (2007) for the pricing of theses portfolio credit derivatives. This approach combines general quadratic models for term structures with shot-noise models and therefore naturally solves a number of important issues in credit portfolio risk. First, resulting pricing formulas are in closed form and therefore the model implementation is straightforward. Second, this class of models is able to incorporate well-known features of credit risky markets: realistic default correlations, default clustering and correlation between short-rate and credit spreads. Third, the recent turbulence in credit spreads caused by the U.S. subprime mortgage turmoil can be captured well.ISEG - Departamento de GestãoRepositório da Universidade de LisboaGaspar, Raquel M.Schmidt, Thorsten2022-02-21T15:42:57Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/23640engGaspar, Raquel M. e Thorsten Schmidt. 2007. "On the pricing of CDOs". Instituto Superior de Economia e Gestão. Departamento de Gestão. Working papers series nº 4-07.0874-8470info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:53:12Zoai:www.repository.utl.pt:10400.5/23640Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:07:49.856789Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
On the pricing of CDOs |
title |
On the pricing of CDOs |
spellingShingle |
On the pricing of CDOs Gaspar, Raquel M. Portfolio Credit Derivates Credit Portfolio Risk Short-Rate Credit Spreads Subprime Mortgage Turmoil |
title_short |
On the pricing of CDOs |
title_full |
On the pricing of CDOs |
title_fullStr |
On the pricing of CDOs |
title_full_unstemmed |
On the pricing of CDOs |
title_sort |
On the pricing of CDOs |
author |
Gaspar, Raquel M. |
author_facet |
Gaspar, Raquel M. Schmidt, Thorsten |
author_role |
author |
author2 |
Schmidt, Thorsten |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gaspar, Raquel M. Schmidt, Thorsten |
dc.subject.por.fl_str_mv |
Portfolio Credit Derivates Credit Portfolio Risk Short-Rate Credit Spreads Subprime Mortgage Turmoil |
topic |
Portfolio Credit Derivates Credit Portfolio Risk Short-Rate Credit Spreads Subprime Mortgage Turmoil |
description |
This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swaps and collateralized debt obligations (CDOs). We use the recent model of Gaspar and Schmidt (2007) for the pricing of theses portfolio credit derivatives. This approach combines general quadratic models for term structures with shot-noise models and therefore naturally solves a number of important issues in credit portfolio risk. First, resulting pricing formulas are in closed form and therefore the model implementation is straightforward. Second, this class of models is able to incorporate well-known features of credit risky markets: realistic default correlations, default clustering and correlation between short-rate and credit spreads. Third, the recent turbulence in credit spreads caused by the U.S. subprime mortgage turmoil can be captured well. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007 2007-01-01T00:00:00Z 2022-02-21T15:42:57Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/23640 |
url |
http://hdl.handle.net/10400.5/23640 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Gaspar, Raquel M. e Thorsten Schmidt. 2007. "On the pricing of CDOs". Instituto Superior de Economia e Gestão. Departamento de Gestão. Working papers series nº 4-07. 0874-8470 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - Departamento de Gestão |
publisher.none.fl_str_mv |
ISEG - Departamento de Gestão |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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