20. Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Roberto Torresetti and
  2. Andrea Pallavicini

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch20

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch20

Author Information

  1. Banca Leonardo, Financial Engineering

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • collateralized debt obligations;
  • mortgage-backed securities;
  • CPDO rating;
  • asset-backed securities;
  • structured finance ratings

Summary

This chapter contains sections titled:

  • Introduction

  • Ratings

  • CPDO

  • Rating Criteria: Base Case and Stressed Case

  • Modification of the Standard Assumptions

  • Numerical Results

  • Conclusion

  • Acknowledgment

  • Notes