CDO and Structured Financial Products: A Modeling Perspective
Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
July 12, 2010
NYU Poly Research Paper Forthcoming
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
Date posted: July 13, 2010
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