Publications
Publications
- January 2008
- HBS Case Collection
Collateralized Debt Obligations (CDOs)
By: Joshua Coval and Erik Stafford
Abstract
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.