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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 |
