Valuation and Risk Management of Collateralized Debt Obligations and Related Securities

Christian Bluhm () and Christoph Wagner ()
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Christian Bluhm: FMS-Wertmanagement (Public Wind-Down Agency), Munich, Germany 80538
Christoph Wagner: FMS-Wertmanagement (Public Wind-Down Agency), Munich, Germany 80538

Annual Review of Financial Economics, 2011, vol. 3, issue 1, 193-222

Abstract: Over the course of a few decades, asset securitization has evolved into a vast and diverse financial instrument. Bases for the marketability of these securities are valuation and risk management techniques allowing for reasonable pricing formulas and hedging schemes. Therefore, a key issue is the modeling of cash flows of a portfolio of assets as well as the statistical modeling of uncertainties of such cash flows in the future. This article reviews some aspects of so-called collateralized debt obligations (CDOs) and related instruments. The modeling of underlying credit risks plays an important role in this context. As such, this review naturally has a special focus on the modeling of structured credit portfolios.

Keywords: securitization; CDO; structural models; intensity models; dependency (search for similar items in EconPapers)
JEL-codes: C02 C52 G12 G32 (search for similar items in EconPapers)
Date: 2011
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