Tranchering av Collateralized Debt Obligations med en portfölj av simulerade tillgångar
(2007)Department of Economics
- Abstract
- This thesis gives an introduction to securitization in general and the tranching of collateralized debt obligations in particular. It does this by using a firm-value model to simulate the underlying portfolio via monte-carlo simulations.
The simulations in turn give a loss-distribution from which the various tranchings of the CDO’s are derived. To get an understanding of the influence of different variables involved in the tranching the simulations are repeated several times where the portfolio variables are changed to generate different tranchings. This to give a understanding of the influence different variables have on the tranching and consequently risks involved in CDO’s in particular but also general risks and problems of... (More) - This thesis gives an introduction to securitization in general and the tranching of collateralized debt obligations in particular. It does this by using a firm-value model to simulate the underlying portfolio via monte-carlo simulations.
The simulations in turn give a loss-distribution from which the various tranchings of the CDO’s are derived. To get an understanding of the influence of different variables involved in the tranching the simulations are repeated several times where the portfolio variables are changed to generate different tranchings. This to give a understanding of the influence different variables have on the tranching and consequently risks involved in CDO’s in particular but also general risks and problems of securitizations. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1336788
- author
- Göransson, Paul
- supervisor
- organization
- year
- 2007
- type
- M2 - Bachelor Degree
- subject
- keywords
- Värdepapperisering, Collateralized Debt Obligation, Tranchering, Asset-backed security, firm-value modellering, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- Swedish
- id
- 1336788
- date added to LUP
- 2007-09-17 00:00:00
- date last changed
- 2010-08-03 10:51:09
@misc{1336788, abstract = {{This thesis gives an introduction to securitization in general and the tranching of collateralized debt obligations in particular. It does this by using a firm-value model to simulate the underlying portfolio via monte-carlo simulations. The simulations in turn give a loss-distribution from which the various tranchings of the CDO’s are derived. To get an understanding of the influence of different variables involved in the tranching the simulations are repeated several times where the portfolio variables are changed to generate different tranchings. This to give a understanding of the influence different variables have on the tranching and consequently risks involved in CDO’s in particular but also general risks and problems of securitizations.}}, author = {{Göransson, Paul}}, language = {{swe}}, note = {{Student Paper}}, title = {{Tranchering av Collateralized Debt Obligations med en portfölj av simulerade tillgångar}}, year = {{2007}}, }