Comparison study and empirical analysis on prices of collateralized debt obligations
Abstract
This thesis attempts two things. Basically, I have used the three-factor model from [1] and performed analysis on a different data set. I have also modified this model and performed analysis on the same data set. The objective therefore is two-fold, the first being a comparison study of the two models, the second to analyze the information contained in the index spreads of collateralized debt obligations. My model performs better on three of the five data sets used. The analysis performed also gives us an insight into economic implications of the prices. On an average, 60% of the spread is due to firm-specific risk, 30% is due to industry-wide risk and 10% is due to economy-wide risk.
Degree
M.S.I.E.
Advisors
Morin, Purdue University.
Subject Area
Industrial engineering
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