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Duffie et al., 2001 - Google Patents

Risk and valuation of collateralized debt obligations

Duffie et al., 2001

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Document ID
451380017442231750
Author
Duffie D
Garleanu N
Publication year
Publication venue
Financial analysts journal

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Snippet

In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on valuation and discuss the “diversity score”(a measure of the risk of the CDO collateral pool that has been used for CDO risk …
Continue reading at www.researchgate.net (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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