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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  Pricing Failure of Subprime CDO Tranches: What Went Wrong?

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62011

    Title: Pricing Failure of Subprime CDO Tranches: What Went Wrong?
    Authors: Man Cho;Tyler Yang;Cary Lin
    教師: 林哲群
    Date: 2009
    Publisher: The American Real Estate and Urban Economics Association
    Relation: The American Real Estate and Urban Economics Association Annual Conference, San Francisco, USA,The American Real Estate and Urban Economics Association,28 March 2008
    Keywords: CDO
    Abstract: characteristics of subprime loans, we aim to shed light on four MBS pricing-related issues: (1) estimating the probabilities of default from typical prime vs. subprime mortgage loans as the collaterals; (2) specifying the optimal sizing rules (i.e., share of subordinate tranches) in pooling mortgages of different characteristics to create MBS (Mortgage Backed Security) deals; (3) demonstrating an informationally-efficient method to estimate the credit-OAS (Option Adjusted Spread) and its application in referring elative values?of different CDO tranches; and, (4) discussing policy implications in coming up with risk-based capital charges in the deal/tranche level. We outline our research framework in this draft, which will be finalized long before the 2009 AREUEA Annual Conference.
    URI: http://www.areuea.org/conferences/papers/details.phtml?id=1732
    Appears in Collections:[計量財務金融學系] 會議論文

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