Mark-to-Market, Oversight, and Sensitivity Analysis of CDO's
Jorge Mina
We present a framework that can be used to value CDO's and model the risk characteristics of each tranche as the collateral pool evolves. A consistent valuation and oversight framework for CDO's could accelerate the development of a secondary market. An oversight framework can also be used by buyand- hold investors since mark-to-market changes can signal potential realized losses. To illustrate our approach, we present a case study of the impact that various changes in the collateral pool would have on a simple CDO structure. Download this document – Mark-to-Market, Oversight, and Sensitivity Analysis of CDO's (PDF Format, 67.6 KB) |
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