On valuing structured creditOn valuing structured credit
Faculty of Applied Economics
Faculteit Toegepaste Economische Wetenschappen
Revue bancaire et financière. - Bruxelles, 2003, currens
6(2005), p. 375-382
Over the past decade, the market in credit-related structured products has boomed. A growing number of products are finding their way to different types of investors. This article describes a general modeling framework for assessing the value of a wide range of such structured products. The most relevant practical issues are illustrated using market quotes for so-called tranched iTraxx, standardized Collateralized Debt Obligations (CDOs) quoted by various market makers1.