Monday, September 17, 2007

The term structure of CDO losses

Thorsten Schmidt
(University of Leipzig)

Abstract: In this talk we consider so-called top-down approaches to the pricing of CDOs. This approach directly models the forward term structure of losses of a CDO in a Heath-Jarrow-Morton like fashion and derives conditions under which the model is free of arbitrage. We consider an affine specifcation for this and 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

Notice: Note new title and abstract
Monday, September 17, 2007
Time: 11h30
Room: Sala Delta, Edificio Quelhas, ISEG