Analysis of CDO tranche valuation and the 2008 credit crisis

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorMuzenda, Nevisonen_ZA
dc.date.accessioned2015-01-03T05:31:44Z
dc.date.available2015-01-03T05:31:44Z
dc.date.issued2013en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.identifier.apacitationMuzenda, 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/11427/11093en_ZA
dc.identifier.chicagocitationMuzenda, 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/11427/11093en_ZA
dc.identifier.citationMuzenda, N. 2013. Analysis of CDO tranche valuation and the 2008 credit crisis. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/11093
dc.identifier.vancouvercitationMuzenda 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/11427/11093en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleAnalysis of CDO tranche valuation and the 2008 credit crisisen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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