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Title
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On valuing structured credit
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Author
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Abstract
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| 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. |
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Language
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English
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Source (journal)
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Revue bancaire et financière. - Bruxelles, 2003, currens
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Publication
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Bruxelles
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2005
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ISSN
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2033-7825
[print]
2566-154X
[online]
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Volume/pages
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6
(2005)
, p. 375-382
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Full text (publisher's version - intranet only)
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