the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Forward-Start CDO's, Options on CDO's, and Calibration

by Michael B. Walker of the University of Toronto

March 27, 2007

Abstract: This article describes forward-start CDO's (FCDO's), options to start CDO's, and their risk-neutral valuation. The valuation method represents an extension of previous work (Walker, 2005, 2006) on a static model for the valuation of ordinary CDO's to a model containing the necessary dynamics. The focus of the work will be to develop a model with sufficient flexibility that it can be used to calibrate simultaneously to a reasonably wide range of prices for ordinary CDO's, FCDO's and options on CDO's in terms of a single risk neutral measure.

JEL Classification:   G13.

Keywords: forward-start CDO's, options on CDO's, calibration, CDO's.

Download paper (162K PDF) 17 pages