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

CDO Modeling: Techniques, Examples and Applications

by Christian Bluhm of HypoVereinsbank

December 10, 2003

Abstract: Collateralized debt obligations (CDOs) constitute an important subclass of asset backed securities. The evaluation of CDOs relies on mathematical modeling and on simulation as well as analytic and semi-analytic approaches, depending on the underlying asset pool and the cash flow structure of the transaction. This paper is an introductory survey on CDO modeling. It starts with a 'mini course' on the use of CDOs as capital market instruments, explains simulation and analytic approaches for evaluating CDOs and considers the notion of PD, EL and LGD of CDO tranches.

Books Referenced in this paper:  (what is this?)

Download paper (635K PDF) 37 pages