An Empirical Analysis of the Pricing of Collateralized Debt Obligations

We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three-factor portfolio credit model explains virtually all of the time-series and cross-sectional variation in an extensive data set of CDX index tranche prices...

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Veröffentlicht in:	The Journal of finance (New York) 2008-04, Vol.63 (2), p.529-563
Hauptverfasser:	LONGSTAFF, FRANCIS A., RAJAN, ARVIND
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Cluster analysis Collateralized debt obligations Credit Credit default swaps Credit risk Debt Default Economic indices Financial engineering Financial portfolios Investors Market prices Poisson process Portfolio management Portfolio selection Prices Risk Studies Time series Yield curves
Online-Zugang:	Volltext
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