Valuation of collateralized debt obligations: An equilibrium model
Author
Abstract
Suggested Citation
DOI: 10.1016/j.econmod.2019.08.014
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Taehan Bae & Ian Iscoe & Changki Kim, 2015. "Valuing Retail Credit Tranches with Structural, Double Mixture Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(9), pages 849-867, September.
- Duffee, Gregory R, 1999.
"Estimating the Price of Default Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
- Gregory R. Duffee, "undated". "Estimating the Price of Default Risk," Finance and Economics Discussion Series 1996-29, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
- Gregory R. Duffee, 1996. "Estimating the price of default risk," Finance and Economics Discussion Series 96-29, Board of Governors of the Federal Reserve System (U.S.).
- Glasserman, Paul & Suchintabandid, Sira, 2007. "Correlation expansions for CDO pricing," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1375-1398, May.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
- X. Burtschell & Jonathan Gregory & Jean-Paul Laurent, 2009. "A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework," Post-Print hal-03676448, HAL.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997.
"Empirical Performance of Alternative Option Pricing Models,"
Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
- Rubinstein, Mark, 1985. "Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978," Journal of Finance, American Finance Association, vol. 40(2), pages 455-480, June.
- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Bakshi, Gurdip S. & Zhiwu, Chen, 1997.
"An alternative valuation model for contingent claims,"
Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
- Amin, Kaushik I & Ng, Victor K, 1993. "Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, vol. 48(3), pages 881-910, July.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Bakshi, Gurdip S & Chen, Zhiwu, 1997.
"Equilibrium Valuation of Foreign Exchange Claims,"
Journal of Finance, American Finance Association, vol. 52(2), pages 799-826, June.
- Gurdip S. Bakshi & Zhiwu Chen, "undated". "Equilibrium Valuation of Foreign Exchange Claims," Research in Financial Economics 9510, Ohio State University.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers ysm79, Yale School of Management.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers ysm51, Yale School of Management.
- Louis O. Scott, 1997. "Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 413-426, October.
- Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
- Bailey, Warren & Stulz, René M., 1989. "The Pricing of Stock Index Options in a General Equilibrium Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 1-12, March.
- John M. Griffin & Dragon Yongjun Tang, 2012. "Did Subjectivity Play a Role in CDO Credit Ratings?," Journal of Finance, American Finance Association, vol. 67(4), pages 1293-1328, August.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Francis A. Longstaff & Arvind Rajan, 2008.
"An Empirical Analysis of the Pricing of Collateralized Debt Obligations,"
Journal of Finance, American Finance Association, vol. 63(2), pages 529-563, April.
- Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
- Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
- Iscoe, Ian & Kreinin, Alexander, 2007. "Valuation of synthetic CDOs," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3357-3376, November.
- Joshua D. Coval & Jakub W. Jurek & Erik Stafford, 2009. "Economic Catastrophe Bonds," American Economic Review, American Economic Association, vol. 99(3), pages 628-666, June.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Joost Driessen, 2005. "Is Default Event Risk Priced in Corporate Bonds?," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 165-195.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 419-438, December.
- Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang, 2018. "Model specification and collateralized debt obligation (mis)pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1284-1312, November.
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Ball, Clifford A & Torous, Walter N, 1985. "On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-173, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2947-2969, December.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000.
"Pricing and hedging long-term options,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998. "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers ysm90, Yale School of Management.
- Cheng Few Lee & Yibing Chen & John Lee, 2020.
"Alternative Methods to Derive Option Pricing Models: Review and Comparison,"
World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617,
World Scientific Publishing Co. Pte. Ltd..
- Cheng-Few Lee & Yibing Chen & John Lee, 2016. "Alternative methods to derive option pricing models: review and comparison," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 417-451, August.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Bakshi, Gurdip S. & Zhiwu, Chen, 1997.
"An alternative valuation model for contingent claims,"
Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
- Liu, Chang & Chang, Chuo, 2021. "Combination of transition probability distribution and stable Lorentz distribution in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
- Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
- Gonçalo Faria & João Correia-da-Silva, 2014.
"A closed-form solution for options with ambiguity about stochastic volatility,"
Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
- Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
- Ciprian Necula, 2008. "Asset Pricing in a Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 24, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, September.
- Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, June.
- Naoto Kunitomo & Yong‐Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106, March.
- Zhou, Chunsheng, 2001. "The term structure of credit spreads with jump risk," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 2015-2040, November.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
More about this item
Keywords
Collateralized debt obligations; Default correlation; Global financial crisis;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:82:y:2019:i:c:p:119-135. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30411 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.