9. Valuation of Structured Finance Products with Implied Factor Models

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Jovan Nedeljkovic,
  2. Dan Rosen2 and
  3. David Saunders3

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch9

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) Valuation of Structured Finance Products with Implied Factor Models, 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.ch9

Author Information

  1. 2

    R2 Financial Technologies and the Fields Institute

  2. 3

    University of Waterloo, Canada

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:

  • credit derivatives;
  • collateralized debt obligation;
  • asset-backed security;
  • pricing methods;
  • structured finance

Summary

This chapter contains sections titled:

  • Introduction

  • Valuation of Structured Finance Instruments

  • Implied Factor Models and Weighted Monte Carlo

  • The ABX Indexes

  • Examples

  • Conclusion

  • Acknowledgments

  • Notes