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Brandt, H. (2015) Cash-Flow CDO Pricing with Amortization. Göteborg : Chalmers University of Technology
BibTeX
@mastersthesis{
Brandt2015,
author={Brandt, Hans},
title={Cash-Flow CDO Pricing with Amortization},
abstract={In this paper we propose a simple general setting for pri
ing CDOs with amortization. The
model is not intended to pri
e market CDO produ
ts but rather to study the joint impa
t
of amortization and default risk on a hypotheti
al tran
he spread. In our pri
ing model the
mortgage loans are allowed to amortize but not prepay and the amortization is allo
ated "pro-
rate" to the tran
hes. Due to the
omplexity of nding a
losed form solution for su
h a CDO
stru
ture we are using Monte Carlo simulations. Sin
e default dependen
y highly ae
ts the
loss distribution and therefore also the CDO spreads, the default times of the mortgage loans
are
al
ulated using three dierent
redit risk models, ea
h imposing a dierent dependen
y
stru
ture. Finally, the tran
he spread sensitivity is analyzed with respe
t to the input param-
eters.
},
publisher={Institutionen för matematiska vetenskaper, Chalmers tekniska högskola},
place={Göteborg},
year={2015},
keywords={CDOs, Amortization, Default Dependen y, Homogenous Poisson Process, CIR,},
note={40},
}
RefWorks
RT Generic
SR Print
ID 214408
A1 Brandt, Hans
T1 Cash-Flow CDO Pricing with Amortization
YR 2015
AB In this paper we propose a simple general setting for pri
ing CDOs with amortization. The
model is not intended to pri
e market CDO produ
ts but rather to study the joint impa
t
of amortization and default risk on a hypotheti
al tran
he spread. In our pri
ing model the
mortgage loans are allowed to amortize but not prepay and the amortization is allo
ated "pro-
rate" to the tran
hes. Due to the
omplexity of nding a
losed form solution for su
h a CDO
stru
ture we are using Monte Carlo simulations. Sin
e default dependen
y highly ae
ts the
loss distribution and therefore also the CDO spreads, the default times of the mortgage loans
are
al
ulated using three dierent
redit risk models, ea
h imposing a dierent dependen
y
stru
ture. Finally, the tran
he spread sensitivity is analyzed with respe
t to the input param-
eters.
PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,
LA eng
OL 30
