On the mechanism of CDOs behind the current financial crisis and mathematical modeling with lévy distributions

Du, HongWen and Wu, JiangLun and Yang, Wei (2010) On the mechanism of CDOs behind the current financial crisis and mathematical modeling with lévy distributions. Intelligent Information Management, 2. pp. 149-158. ISSN 2160-5912 (https://doi.org/10.4236/iim.2010.22018)

Abstract

This paper aims to reveal the mechanism of Collateralized Debt Obligations (CDOs) and how CDOs extend the current global financial crisis. We first introduce the concept of CDOs and give a brief account of the de- velopment of CDOs. We then explicate the mechanism of CDOs within a concrete example with mortgage deals and we outline the evolution of the current financial crisis. Based on our overview of pricing CDOs in various existing random models, we propose an idea of modeling the random phenomenon with the feature of heavy tail dependence for possible implements towards a new random modeling for CDOs.

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• Item metadata

  Item type:	Article
  ID code:	43214
  Dates:	Date Event February 2010 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	15 Mar 2013 11:32
  Last modified:	11 Nov 2024 10:22
  URI:	https://strathprints.strath.ac.uk/id/eprint/43214