On the pricing of CDOs

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 mod...

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Bibliographic Details
Main Author: Gaspar, Raquel M. (author)
Other Authors: Schmidt, Thorsten (author)
Format: workingPaper
Language:eng
Published: 2022
Subjects:
Portfolio Credit Derivates
Credit Portfolio Risk
Short-Rate
Credit Spreads
Subprime Mortgage Turmoil
Online Access:http://hdl.handle.net/10400.5/23640
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/23640

Internet

http://hdl.handle.net/10400.5/23640

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