Introduction to CDOs: Models & Pricing
Document ID: 2005-80 (previously 2005/010)
Published on: 1st July 2005
Author: Steven Morrison
Collateralised Debt Obligations (CDOs) are credit derivatives with cash flows contingent upon the default losses on a portfolio of credit names. This note describes the structure of CDO contracts and considers the pricing of these contracts within the standard model (Gaussian copula) model.
