Model Specification, Data History, and CDO (Mis)Pricing
نویسندگان
چکیده
منابع مشابه
A Little Knowledge Is A Dangerous Thing: Model Specification, Data History, and CDO (Mis)Pricing∗
The revaluation of collateralized debt obligations (CDOs) plays a significant role in the ongoing 2007-2009 credit crisis. Starting in August 2007, a large amount of initially AAA rated CDO securities are substantially downgraded, some directly to junk grade. This paper explores two structural sources of CDO mispricing: modeling difficulty and data limitation. Simulating the frailty correlated ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1572371