MARC Record from Library of Congress

LEADER: 01977cam a22002897a 4500
001 2006619054
003 DLC
005 20090220084146.0
007 cr |||||||||||
008 060524s2006 mau sb 000 0 eng
010 $a 2006619054
040 $aDLC$cDLC$dDLC
050 00 $aHB1
100 1 $aLongstaff, Francis A.,$d1956-
245 13 $aAn empirical analysis of the pricing of collateralized debt obligations$h[electronic resource] /$cFrancis A. Longstaff, Arvind Rajan.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2006.
490 1 $aNBER working paper series ;$vworking paper 12210
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 5/24/2006.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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"--National Bureau of Economic Research web site.
700 1 $aRajan, Arvind
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 12210.
856 40 $uhttp://papers.nber.org/papers/w12210