Risk and Valuation of Collateralized Debt Obligations

2001630 citationsJournal Article

Authors

Darrell Duffie · General Mills (United States)

Abstract

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 analysis by rating agencies) in a simple jump diffusion setting for correlated default intensities.

Topics & Keywords

Credit Risk and Financial Regulations Stochastic processes and financial applications Insurance and Financial Risk Management

UN Sustainable Development Goals

Partnerships for the goals

Publication Details

Published in: Financial Analysts Journal

Volume 57, Issue 1, pp. 41-59

DOI: 10.2469/faj.v57.n1.2418

Field-Weighted Citation Impact: 17.27