CDO Parameters Estimation Using Market Prices

Abstract

In this paper, we address the crucial problems of parameters estimation of Collateralized Debt Obligation (CDO). We present a methodology for fair spread estimation of reconstituted (CDO) from European market data. A fundamental part of the pricing framework is the estimation of default probabilities and the structure of dependency. We present a copula… (More)

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Cite this paper

@inproceedings{Abid2008CDOPE, title={CDO Parameters Estimation Using Market Prices}, author={Fathi Abid}, year={2008} }