CDO and Structured Financial Products: A Modeling Perspective
51 Pages Posted: 13 Jul 2010
Date Written: July 12, 2010
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.
Keywords: credit derivatives, structured products, CDO, pricing, modeling
JEL Classification: G13
Suggested Citation: Suggested Citation