Cash-Flow CDO Pricing with Amortization

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dc.contributor.authorBrandt, Hans
dc.contributor.departmentChalmers tekniska högskola / Institutionen för matematiska vetenskapersv
dc.contributor.departmentChalmers University of Technology / Department of Mathematical Sciencesen
dc.date.accessioned2019-07-03T13:38:33Z
dc.date.available2019-07-03T13:38:33Z
dc.date.issued2015
dc.description.abstractIn 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.
dc.identifier.urihttps://hdl.handle.net/20.500.12380/214408
dc.language.isoeng
dc.setspec.uppsokPhysicsChemistryMaths
dc.subjectMatematik
dc.subjectGrundläggande vetenskaper
dc.subjectMathematics
dc.subjectBasic Sciences
dc.titleCash-Flow CDO Pricing with Amortization
dc.type.degreeExamensarbete för masterexamensv
dc.type.degreeMaster Thesisen
dc.type.uppsokH
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