Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions by Shuanghong Qu, Lingxian Meng, Hua Li

“…In consideration of that the correlation between any two assets of the asset pool is always stochastic in the actual market and that collateralized debt obligation (CDO) pricing models under nonhomogeneous assumptions have no semianalytic solutions, we designed a numerical algorithm based on randomized quasi-Monte Carlo (RQMC) simulation method for CDO pricing with stochastic correlations under nonhomogeneous assumptions and took Gaussian factor copula model as an example to conduct experiments. …”
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Profit and Risk under Subprime Mortgage Securitization by M. A. Petersen, J. Mukuddem-Petersen, B. De Waal, M. C. Senosi, S. Thomas

“…We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs). Our deliberations focus on profit and risk in a discrete-time framework as they are related to RMBSs and RMBS CDOs. …”
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