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  • January 2008
  • Background Note
  • HBS Case Collection

Collateralized Debt Obligations (CDOs)

By: Joshua Coval and Erik Stafford
  • Format:Print
  • | Pages:4
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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.
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About The Authors

Joshua D. Coval

Finance
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Erik Stafford

Finance
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More from the Authors
  • Exchanging Salary for Stock Options at a Startup By: Erik Stafford
  • Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting By: Erik Stafford
  • Limits to Bank Deposit Market Power By: Juliane Begenau and Erik Stafford
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