Publication
Title
On valuing structured credit
Author
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.
Language
English
Source (journal)
Revue bancaire et financière. - Bruxelles, 2003, currens
Publication
Bruxelles : 2005
ISSN
2033-7825
Volume/pages
6(2005), p. 375-382
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
External links
Record
Identification
Creation 22.11.2012
Last edited 07.04.2016