Article

A Valuation Model for ABS Cdos

Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0018

Series: Oxford Handbooks in Finance

 A Valuation Model for ABS Cdos

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This article develops a pricing model for asset-backed securities collateralised debt obligation tranches backed by mortgage collateral (including prime, sub-prime, and other property types) via the Monte Carlo method. It is organized as follows. Section 2 presents a brief historical overview of the sub-prime market. Section 3 provides the core technical description of the scenario generator. After the stochastic model is established in Section 4, the calibration procedure is presented. Section 5 and 6 discuss results and conclusions, respectively.

Keywords: pricing model; asset-backed securities; collateralised debt obligation; mortgage collateral; Monte Carlo method; sub-prime market

Article.  9824 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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