This paper is mainly about Collateral Debt Obligations pricing methods to explore and studies factors affecting CDO prices, focusing on the analysis of default density of the underlying assets and default correlation between those assets.
本文①主要是对抵押债务契约CDO的定价方法进行探讨,并研究影响CDO价格的因素,着重就单个标的资产的违约强度和资产的违约相关性进行分析。
Credit Risk Analysis of Collateralized Debt Obligations (CDOs);
抵押债务证券（CDO）的信用风险分析