Title
On valuing structured credit On valuing structured credit
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Bruxelles ,
Subject
Economics
Source (journal)
Revue bancaire et financière. - Bruxelles, 2003, currens
Volume/pages
6(2005) , p. 375-382
ISSN
2033-7825
Carrier
E
Target language
English (eng)
Abstract
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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/3c08d4/5f375044c8a.pdf