Ris_n_Vlution_of_Colltliz_Dbt_Oblitions：抵押债务证 券的风险与评价__.pdfVIP

Risk and Valuation of Collateralized Debt Obligations Darrell Duffie and Nicolae Gˆarleanu Graduate School of Business Stanford University∗ First draft : August 20, 1999 This draft : March 24, 2003 Extended Version of an article in Financial Analysts Journal, 2001 Abstract: This paper addresses the risk analysis and market valuation of collateralized debt obligations (CDOs). We illustrate the effects of correlation an