Post by Sapphire Capital on Feb 26, 2009 22:33:08 GMT 4
Risk Analysis of Collateralized Debt Obligations
Kay Giesecke
Stanford University - Management Science & Engineering
Baeho Kim
Stanford University
February 12, 2009
Abstract:
Collateralized debt obligations continue to play a significant role in the financial crisis that has been spreading throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. We develop, implement and validate a method to accurately measuring the downside risk of positions in synthetic and cash collateralized debt obligations and related portfolio credit derivatives. The method is based on an acceptance/rejection re-sampling approach that facilitates the maximum likelihood estimation of a dynamic model of portfolio default timing from economy-wide default data.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1341747_code295933.pdf?abstractid=1341747&mirid=1
Kay Giesecke
Stanford University - Management Science & Engineering
Baeho Kim
Stanford University
February 12, 2009
Abstract:
Collateralized debt obligations continue to play a significant role in the financial crisis that has been spreading throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. We develop, implement and validate a method to accurately measuring the downside risk of positions in synthetic and cash collateralized debt obligations and related portfolio credit derivatives. The method is based on an acceptance/rejection re-sampling approach that facilitates the maximum likelihood estimation of a dynamic model of portfolio default timing from economy-wide default data.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1341747_code295933.pdf?abstractid=1341747&mirid=1