Background Note | HBS Case Collection | 2008
by Joshua Coval and Erik Stafford
This lesson integrated Merton's (1974) contingent claims model of debt and equity claims with the CAPM, which allows us to examine the risks and pricing of credit portfolios and the derivative claims issued against them. In particular, this model is used to make investment and risk management decisions in the market for collateralized debt obligations (CDOs).
Keywords: Decision Choices and Conditions; Borrowing and Debt; Credit Derivatives and Swaps; Investment Portfolio; Risk Management;
Citation:
Coval, Joshua, and Erik Stafford. "Collateralized Debt Obligations (CDOs)." Harvard Business School Background Note 208-113, January 2008.
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Case | HBS Case Collection | 2013 (Revised from original 2012 version)
Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium
Samuel Hanson, Erik Stafford and Luis Viceira
Keywords: investment banking; Equity Valuation;
Supplement | HBS Case Collection | 2013
Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)
Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira
Case | HBS Case Collection | 2012
Lin TV Corp
David Scharfstein, Erik Stafford and Joel Heilprin
Keywords: valuation; Acquisitions; Synergy; broadcasting; Entertainment; Entertainment and Recreation Industry; North and Central America;