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The Term Structure of CDO losses
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When
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17.00
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Where
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D702
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Presentations
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Speaker
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Thorsten Schmidt
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From
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University of Leipzig
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Abstract
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This paper directly models the forward term structure of losses of a CDO in a Heath-Jarrow-Morton like fashion and derives condition under which the model is free of arbitrage. We also analyze the relationship of different securities and consider the pricing of derivatives on CDOs.
This is joint work with D. Filipovic and L. Overbeck
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For further information
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Tom Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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