T:A:L:K:S

close this window
title:
Valuation of Structured Financial Products
name:
Rupp
first name:
Andreas
location/conference:
SPP-JT09
PRESENTATION-link:
http://dfg-spp1324.de/download/jt09/talks/rupp.pdf
abstract:
The market of structured financial products has grown tremendously in the past decade. Especially the repackaging of mortgage loans, so called collateralized debt obligations, has partially led to the current financial crisis. Due to the complex structure of such a financial product, specifically due to the dependence structure of the single assets within a collateralized debt obligation, its modeling and pricing is not a trivial task.

In this talk, we will discuss basic properties of collateralized debt obligations and a reduced form contagion model for such products. Furthermore, we will discuss how (adaptive) wavelet methods can be used to price the tranches of a collateralized debt obligation.