Rating collateralised debt obligations (CDOs), which are based on tranched pools of credit risk exposures, does not only require attributing a probability of default to each obligor within the portfolio. It also involves assumptions concerning recovery rates and correlated defaults of pool assets, thus combining credit risk assessments of individual collateral assets with estimates about defaul...

Determination and differentiation of cells in the skeletal muscle lineage is positively regulated by cell-cell contact. Cell-surface proteins proposed to mediate this effect include both classical cadherins and Ig superfamily members; potential interactions between the promyogenic activities of these classes of protein, however, are unknown. We show here that CDO and BOC, two promyogenic Ig sup...

This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of the recursive approach are considered: a full Monte Carlo approximation, a multivariate Normal approximation of the joint inner CDO loss distribution and a multivariate Poisson approximation of the joint number of defau...

We investigated mechanisms controlling taurine synthesis in cultured rat cerebral astrocytes. The mean ± SE rate of taurine synthesis from extracellular cysteine was 21.2 ± 2.0 pmol ⋅ mg protein-1 ⋅ min-1, whereas taurine degradation was <1.3% of this rate. Eliminating cellular glutathione and inhibiting glutathione biosynthesis increased taurine synthesis from extracellular cysteine by 39%. In...

A series of yttrium-doped CdO (CYO) thin films have been grown on both amorphous glass and single-crystal MgO(100) substrates at 410 degrees C by metal-organic chemical vapor deposition (MOCVD), and their phase structure, microstructure, electrical, and optical properties have been investigated. XRD data reveal that all as-deposited CYO thin films are phase-pure and polycrystalline, with featur...

Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations Xiaofang Ma Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2007 A Collateralized Debt Obligation (CDO) is a credit derivative that creates fixed income securities, which are known as tranches. A CDO is called a synthetic CDO if the risky assets in the underlying pool are credit d...

In this paper we present a model which is, by construction, consistent with observed market quotes for standard CDO tranches. The model is closely related to implied tree methods which can be used for valuing exotic equity derivatives consistent with observed market quotes for vanilla European call and put options. Rather than modelling default events for each name in the basket, the total bask...

Covered bonds1 have emerged as a potentially preferred funding vehicle from the credit crisis, and they were already a major part of many European financial systems. Although some prices are directly available on, for example Bloomberg2, there is no detailed examination of how covered bonds should be priced taking into account the features that make them attractive to investors: i.e. over-colla...

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base correlation surfaces using a dynamic sem...

The purpose of this paper is to analyze the risks of synthetic CDO structures and their sensitivity to model parameters. In order to measure these sensitivities, I also introduce the latest techniques in the pricing and risk management of synthetic CDOs. I show how to model the conditional and unconditional default distributions of a typical synthetic deal using a simple mathematical framework....