Finance and Economics Discussion Series: Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models by Soren Willemann, Michael B. Gordy

Finance and Economics Discussion Series: Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

Soren Willemann, Michael B. Gordy

32 pages missing pub info (editions)

nonfiction politics
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In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of ...

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