An Empirical Analysis of the Pricing of Collateralized Debt Obligations
收藏NBER2006-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w12210
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We study the pricing of collateralized debt obligations (CDOs) using an extensive new data set for the actively-traded CDX credit index and its tranches. We find that a three-factor portfolio credit model allowing for firm-specific, industry, and economywide default events explains virtually all of
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美国国家经济研究局创建时间：
2006-05-01
