| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12210 |
| 来源ID | Working Paper 12210 |
| An Empirical Analysis of the Pricing of Collateralized Debt Obligations | |
| Francis A. Longstaff; Arvind Rajan | |
| 发表日期 | 2006-05-15 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We study the pricing of collateralized debt obligations (CDOs) using an extensive new data set for the actively-traded CDX credit index and its tranches. We find that a three-factor portfolio credit model allowing for firm-specific, industry, and economywide default events explains virtually all of the time-series and crosssectional variation in CDX index tranche prices. These tranches are priced as if losses of 0.4, 6, and 35 percent of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65 percent of the CDX spread is due to firm-specific default risk, 27 percent to clustered industry or sector default risk, and 8 percent to catastrophic or systemic default risk. Recently, however, firm-specific default risk has begun to play a larger role. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12210 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569864 |
| 推荐引用方式 GB/T 7714 | Francis A. Longstaff,Arvind Rajan. An Empirical Analysis of the Pricing of Collateralized Debt Obligations. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12210.pdf（456KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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