Analysis of CDO tranche valuation and the 2008 credit crisis

 

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dc.contributor.advisor Becker, Ronald en_ZA
dc.contributor.author Muzenda, Nevison en_ZA
dc.date.accessioned 2015-01-03T05:31:44Z
dc.date.available 2015-01-03T05:31:44Z
dc.date.issued 2013 en_ZA
dc.identifier.citation Muzenda, N. 2013. Analysis of CDO tranche valuation and the 2008 credit crisis. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/11093
dc.description Includes bibliographical references. en_ZA
dc.description.abstract The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Mathematical Finance en_ZA
dc.title Analysis of CDO tranche valuation and the 2008 credit crisis en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Division of Actuarial Science en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MPhil en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Muzenda, N. (2013). <i>Analysis of CDO tranche valuation and the 2008 credit crisis</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/11093 en_ZA
dc.identifier.chicagocitation Muzenda, Nevison. <i>"Analysis of CDO tranche valuation and the 2008 credit crisis."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013. http://hdl.handle.net/11427/11093 en_ZA
dc.identifier.vancouvercitation Muzenda N. Analysis of CDO tranche valuation and the 2008 credit crisis. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11093 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Muzenda, Nevison AB - The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs. DA - 2013 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2013 T1 - Analysis of CDO tranche valuation and the 2008 credit crisis TI - Analysis of CDO tranche valuation and the 2008 credit crisis UR - http://hdl.handle.net/11427/11093 ER - en_ZA


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