Download this Paper Open PDF in Browser

CDO and Structured Financial Products: A Modeling Perspective

51 Pages Posted: 13 Jul 2010  

Charles S. Tapiero

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Daniel Totouom

BNP Paribas

Date Written: July 12, 2010

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.

Keywords: credit derivatives, structured products, CDO, pricing, modeling

JEL Classification: G13

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: https://ssrn.com/abstract=1639261 or http://dx.doi.org/10.2139/ssrn.1639261

Charles S. Tapiero (Contact Author)

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States

Daniel Totouom

BNP Paribas ( email )

Paris
France

Paper statistics

Downloads
908
Rank
20,284
Abstract Views
3,035