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Analysis of CDO tranche valuation and the 2008 credit crisis
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
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| _version_ | 1867613200131817472 |
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| access_status_str | Open Access |
| author | Muzenda, Nevison |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Muzenda, Nevison |
| author_facet | Becker, Ronald Muzenda, Nevison |
| author_sort | Muzenda, Nevison |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11093 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:21.936Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11093 Analysis of CDO tranche valuation and the 2008 credit crisis Muzenda, Nevison Becker, Ronald Mathematical Finance Includes bibliographical references. 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. 2015-01-03T05:31:44Z 2015-01-03T05:31:44Z 2013 Master Thesis Masters MPhil http://hdl.handle.net/11427/11093 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Muzenda, Nevison Analysis of CDO tranche valuation and the 2008 credit crisis |
| thesis_degree_str | Master's |
| title | Analysis of CDO tranche valuation and the 2008 credit crisis |
| title_full | Analysis of CDO tranche valuation and the 2008 credit crisis |
| title_fullStr | Analysis of CDO tranche valuation and the 2008 credit crisis |
| title_full_unstemmed | Analysis of CDO tranche valuation and the 2008 credit crisis |
| title_short | Analysis of CDO tranche valuation and the 2008 credit crisis |
| title_sort | analysis of cdo tranche valuation and the 2008 credit crisis |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/11093 |
| work_keys_str_mv | AT muzendanevison analysisofcdotranchevaluationandthe2008creditcrisis |