Τιμολόγηση εγγυημένων δανειακών ομολόγων
Valuation of collateralized debt obligations
Μπαμπίλης, Χαράλαμπος Α.
This paper aims to present the structured finance CDO products and CDO, explain how they were created, how they flourished and contributed to the creation and spread of modern financial crisis of 2007. Since these products are a result of the securitization process, in this work is extensive reference in this process. It will also make detailed reference to rating agencies and how they in the wrong estimates on factors that directly affect the anticipated payments of structured financial products, helped create the crisis and indirect deception for those products potential market investors. Then this paper presents the three key factors that significantly affect the sensitivity of the tranches of structured financial factors. These factors are: a) the probability of default b) the correlation coefficient and c) the recovery rate. Finally, through the experimental process simulation in the computational program Matlab was pricing tranches and therefore of structured products as varied as bankruptcy probability and the correlation coefficient. The results were presented in form of diagrams. The process simulation highlighted the major change occurring in the expected payments by tranches according to estimates by the above factors, which means that possible error in the estimates they will create big problem in repayments of structured products. While the above experimental procedure was performed at time zero, it was an extension of a time and for different values of the correlation coefficient between the respective results were analyzed.