Risk and Valuation of Collateralized Debt Obligations
by Darrell Duffie of Stanford University, and
September 23, 2001
Abstract: This paper addresses the risk analysis and market valuation of collateralized debt obligations (CDOs). We illustrate the effects of correlation and prioritization for the market valuation, diversity score, and risk of CDOs, in a simple jump-diffusion setting for correlated default intensities.
Published in: Financial Analysts Journal, Vol. 57, No. 1, (January/February 2001), pp. 41-59.