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CDO and Structured Financial Products: A Modeling PerspectiveCharles S. TapieroNYU Poly - Department of Finance and Risk Engineering Daniel TotouomBNP Paribas July 12, 2010 NYU Poly Research Paper Forthcoming Abstract: This paper is intended as a pedagogical note to explain CDO and structured financial credit products modeling and some approaches to their pricing. The authors thank the NYU-Polytechnic Institute for the research support through the department of Finance and Risk Engineering and the Topfer Chair.
Number of Pages in PDF File: 51 Keywords: credit derivatives, structured products, CDO, pricing, modeling JEL Classification: G13 working papers seriesDate posted: July 13, 2010Suggested Citation |
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