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http://hdl.handle.net/11718/20554| Title: | Collateralized debt obligations: pricing and analytics |
| Authors: | Khare, Kanpuriya Shenoy, Vinay N. |
| Keywords: | Collateralized debt;Credit swaps;CDOs |
| Issue Date: | 2006 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;001188 |
| Abstract: | ABSTRACT This project is a study on CDOs and CDOA2s. It starts with an in depth study of the literature on the various types of credit derivative instruments available. We then introduce a method to price a CDO or a CD0^2 tranche. We have implemented this approach in a calculator based on Microsoft Excel and we present the results we obtained using the calculator at the end. The results essentially highlight the similarities and differences between CDOs and CDOx2s and attempt to understand the need for these instruments. |
| URI: | http://hdl.handle.net/11718/20554 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_2006_1188.pdf Restricted Access | 1.45 MB | Adobe PDF | View/Open Request a copy |
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