Analysis & Valuation Of Subordinate Structures In Collateralized Baskets Of Defaultable Obligations

Topics:
Commercial Lending
Tags:
Analysis,
Security,
Risk Management,
Operational Planning,
Obligation,
Management,
Intensity,
Financial Services,
Financial Planning,
Finance,
...
Source:
The Trustees of Princeton University

FREE Registration is required

Overview: This paper analyzes subordinate tranches in collateralized debt obligations and proposes a model for approximating the value of a basket of default-correlated debt assets. The model is calibrated to a pure intensity-based simulation of correlated defaults and represents an alternative computation method. Timing of individual obligor defaults are driven by intensity processes and collateral value is modeled with a jump-diffusion process where the number of jumps corresponds to the total number of defaults in the asset pool. This approach allows decomposition of subordinate obligations in terms of a collection of simpler securities and yields useful risk management information. Examples are given on how to price and structure subordinated securities using this approach.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 348KB | Date: Mar 2003 | Pages: 22

People who downloaded this item also downloaded

Download DBArtisan 8.5 (Windows)

Top results from Commercial Lending

White Paper Does Bank Lending Affect Output? Evidence from the U.S. States
White Paper What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
White Paper New Evidence on the Interest Rate Effects of Budget Deficits and Debt
White Paper Consumption, Debt and Portfolio Choice: Testing the Effect of Bankruptcy Law
White Paper Small Business Loan Turndowns, Personal Wealth and Discrimination

» View all Commercial Lending listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).