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On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions

Jiang-lun Wu Orcid Logo, H.W. Du, Wei Yang

Intelligent Information Management, Volume: 02, Issue: 02, Pages: 149 - 158

Swansea University Author: Jiang-lun Wu Orcid Logo

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DOI (Published version): 10.4236/iim.2010.22018

Abstract

This paper aims to reveal the mechanism of Collateralized Debt Obligations (CDOs) and how CDOs extend the current global financial crisis. We first introduce the concept of CDOs and give a brief account of the de- velopment of CDOs. We then explicate the mechanism of CDOs within a concrete example w...

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Published in: Intelligent Information Management
ISBN: 2160-5920
ISSN: 2150-8194 2150-8208
Published: 2010
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URI: https://cronfa.swan.ac.uk/Record/cronfa32818
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first_indexed 2017-03-30T13:01:11Z
last_indexed 2018-02-09T05:21:10Z
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spelling 2017-10-04T17:48:06.1523028 v2 32818 2017-03-30 On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2017-03-30 SMA This paper aims to reveal the mechanism of Collateralized Debt Obligations (CDOs) and how CDOs extend the current global financial crisis. We first introduce the concept of CDOs and give a brief account of the de- velopment of CDOs. We then explicate the mechanism of CDOs within a concrete example with mortgage deals and we outline the evolution of the current financial crisis. Based on our overview of pricing CDOs in various existing random models, we propose an idea of modeling the random phenomenon with the feature of heavy tail dependence for possible implements towards a new random modeling for CDOs. Journal Article Intelligent Information Management 02 02 149 158 2160-5920 2150-8194 2150-8208 Collateralized Debt Obligations (CDOs), Cashflow CDO, Synthetic CDO, Mechanism, Financial Crisis, Pricing Models, Lévy Stable Distributions 16 3 2010 2010-03-16 10.4236/iim.2010.22018 http://file.scirp.org/pdf/IIM20100200010_40520085.pdf COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-10-04T17:48:06.1523028 2017-03-30T12:43:39.2615631 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiang-lun Wu 0000-0003-4568-7013 1 H.W. Du 2 Wei Yang 3 0032818-30032017125028.pdf IIM2010.pdf 2017-03-30T12:50:28.8770000 Output 1696702 application/pdf Version of Record true 2017-03-30T00:00:00.0000000 true eng
title On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
spellingShingle On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
Jiang-lun Wu
title_short On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
title_full On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
title_fullStr On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
title_full_unstemmed On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
title_sort On the Mechanism of CDOs behind the Current Financial Crisis and Mathematical Modeling with Levy Distributions
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Jiang-lun Wu
H.W. Du
Wei Yang
format Journal article
container_title Intelligent Information Management
container_volume 02
container_issue 02
container_start_page 149
publishDate 2010
institution Swansea University
isbn 2160-5920
issn 2150-8194
2150-8208
doi_str_mv 10.4236/iim.2010.22018
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url http://file.scirp.org/pdf/IIM20100200010_40520085.pdf
document_store_str 1
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description This paper aims to reveal the mechanism of Collateralized Debt Obligations (CDOs) and how CDOs extend the current global financial crisis. We first introduce the concept of CDOs and give a brief account of the de- velopment of CDOs. We then explicate the mechanism of CDOs within a concrete example with mortgage deals and we outline the evolution of the current financial crisis. Based on our overview of pricing CDOs in various existing random models, we propose an idea of modeling the random phenomenon with the feature of heavy tail dependence for possible implements towards a new random modeling for CDOs.
published_date 2010-03-16T03:40:20Z
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score 11.037144

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