We introduce the concepts of credit risk in securitization framework. We study CDO products and their different structures and features. We analyse different pricing models used to determine the true riskiness of such products after we explain their dynamics and characteristics. We end up adopting and applying one of these models on real data to check whether the model reflect the true market value.
Analysis of CDO pricing models
Cadò, Ruben
2020/2021
Abstract
We introduce the concepts of credit risk in securitization framework. We study CDO products and their different structures and features. We analyse different pricing models used to determine the true riskiness of such products after we explain their dynamics and characteristics. We end up adopting and applying one of these models on real data to check whether the model reflect the true market value.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
873720-1243788.pdf
accesso aperto
Tipologia:
Altro materiale allegato
Dimensione
3.58 MB
Formato
Adobe PDF
|
3.58 MB | Adobe PDF | Visualizza/Apri |
I documenti in UNITESI sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/15774