Cash-Flow CDO Pricing with Amortization

Examensarbete för masterexamen

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Type: Examensarbete för masterexamen
Master Thesis
Title: Cash-Flow CDO Pricing with Amortization
Authors: Brandt, Hans
Abstract: In this paper we propose a simple general setting for pri ing CDOs with amortization. The model is not intended to pri e market CDO produ ts but rather to study the joint impa t of amortization and default risk on a hypotheti al tran he spread. In our pri ing model the mortgage loans are allowed to amortize but not prepay and the amortization is allo ated "pro- rate" to the tran hes. Due to the omplexity of finding a losed form solution for su h a CDO stru ture we are using Monte Carlo simulations. Sin e default dependen y highly affe ts the loss distribution and therefore also the CDO spreads, the default times of the mortgage loans are al ulated using three different redit risk models, ea h imposing a different dependen y stru ture. Finally, the tran he spread sensitivity is analyzed with respe t to the input param- eters.
Keywords: Matematik;Grundläggande vetenskaper;Mathematics;Basic Sciences
Issue Date: 2015
Publisher: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper
Chalmers University of Technology / Department of Mathematical Sciences
Collection:Examensarbeten för masterexamen // Master Theses

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