Dynamic Pricing of Synthetic Collateralized Debt Obligations

Analyses regarding the responsibility of risk management for the current credit crises have found a lack of stress tests as one important issue. In this article, we argue that stress tests are even more important a risk management tool with structured finance products like CDOs. We explain why the specific risk profile of such assets requires a dynamic modeling. In an extensive case study a stress test comparison is made between portfolios including convential bonds and structured products. The results clearly show the increased risk contribution of structured products which reveals explicitly only in a dynamic view.

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Dynamic Pricing of Synthetic Collateralized Debt Obligations

Cited by 2 publications

References 20 publications

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Stress testing CDOs

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