Abstract

http://ssrn.com/abstract=1639261
 
 

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CDO and Structured Financial Products: A Modeling Perspective


Charles S. Tapiero


NYU Poly - Department of Finance and Risk Engineering

Daniel Totouom


BNP 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

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Date posted: July 13, 2010  

Suggested Citation

Tapiero, Charles S. and Totouom, Daniel, CDO and Structured Financial Products: A Modeling Perspective (July 12, 2010). NYU Poly Research Paper Forthcoming. Available at SSRN: http://ssrn.com/abstract=1639261 or http://dx.doi.org/10.2139/ssrn.1639261

Contact Information

Charles S. Tapiero (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
Daniel Totouom
BNP Paribas ( email )
Paris
France
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