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Collateralized Debt Obligations (CDO).
A primary application of multi-asset credit risk models is pricing and risk analysis of CDOs.
It sounds harmless, but unless properly managed CDOs can cause serious damage, the clearest example being the RMBS (residential mortgage-backed security) market in the USA which kicked off the 2008 financial crisis.
The conventional structure of a CDO is shown in Figure 29.
Given the portfolio of assets, designing a CDO means deciding on the number of tranches and, for each tranche, its size (i.e. the total face value of bonds issued) and the coupon it will pay.
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