Risk and Valuation of Collateralized Debt Obligations

Financial Analysts Journal

Volumn 57, Issue 1, 2001, Pages 41-59

  Duffie, Darrell ^a   Gârleanu, Nicolae ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0345779079     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n1.2418     Document Type: Article

References (15)

1. Akerlof, G. 1970. "The Market for 'Lemons': Qualitative Uncertainty and the Market Mechanism." Quarterly Journal of Economics, vol. 84, no. 3:488-500.
2. Cox, J.C., J. Ingersoll, and S. Ross. 1985. "A Theory of the Term Structure of Interest Rates." Econometrica, vol. 53, no. 2 (March):385-407.
3. Davis, M., and V. Lo. 1999. "Infectious Default." Working paper, Research and Product Development, Tokyo-Mitsubishi International PLC.
4. DeMarzo, P. 1999. "Asset Sales and Security Design with Private Information." Working paper, Haas School of Business, University of California at Berkeley.
5. DeMarzo, P., and D. Duffie. 1999. "A Liquidity-Based Model of Security Design." Econometrica, vol. 67, no. 1:65-99.
6. Duffie, D., and N. Gârleanu. 1999. "Risk and Valuation of Collateralized Debt Obligations, Unabridged Version." Working paper, Graduate School of Business, Stanford University (www.Stanford.edu/~duffie/working.htm).
7. Duffie, D., and R. Kan. 1996. "A Yield Factor Model of Interest Rates." Mathematical Finance, vol. 6, no. 4 (October):379-406.
8. Duffie, D., and K. Singleton. 1998. "Simulating Correlated Defaults." Working paper, Graduate School of Business, Stanford University.
9. _. 1999. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, vol. 12, no. 4 (Special):687-720.
10. Duffie, D., J. Pan, and K. Singleton. 2000. "Transform Analysis and Asset Pricing for Affine Jump Diffusions." Econometrica, vol. 68, no. 6 (November): 1343-76.
11. Feller, W. 1951. "Two Singular Diffusion Problems." Annals of Mathematics, vol. 54, no. 1:173-182.
12. Innes, R. 1990. "Limited Liability and Incentive Contracting with Ex-Ante Choices." Journal of Economic Theory, vol. 52, no. 1:45-67.
13. Lando, D. 1998. "On Cox Processes and Credit-Risky Securities." Review of Derivatives Research, vol. 2, nos. 2-3:99-120.
14. Punjabi, S., and J. Tierney. 1999. "Synthetic CLOs and Their Role in Bank Balance Sheet Management." Working paper, Fixed Income Research, Deutsche Bank.
15. Schorin, C., and S. Weinreich. 1998. "Collateralized Debt Obligation Handbook." Working paper, Fixed Income Research, Morgan Stanley Dean Witter.