{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/11093"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/11093","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Analysis of CDO tranche valuation and the 2008 credit crisis","abstract":"The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs.","abstract_html":"The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs.","abstract_has_math":false,"creators":["Muzenda, Nevison"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Becker, Ronald"],"committee_chairs":[],"committee_members":[],"year":2013,"date_issued":"2013","date_published":"2013","updated_at":"2026-07-22T22:22:50Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/11093","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Becker, Ronald"]},{"key":"dc:creator","label":"Author","values":["Muzenda, Nevison"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-01-03T05:31:44Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-01-03T05:31:44Z"]},{"key":"dc:date.issued","label":"Date","values":["2013"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/11093"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs."]},{"key":"dc:title","label":"Title","values":["Analysis of CDO tranche valuation and the 2008 credit crisis"]}]}],"canonical_facts":{"dc:contributor.advisor":["Becker, Ronald"],"dc:creator":["Muzenda, Nevison"],"dc:date.accessioned":["2015-01-03T05:31:44Z"],"dc:date.available":["2015-01-03T05:31:44Z"],"dc:date.issued":["2013"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs."],"dc:identifier.uri":["http://hdl.handle.net/11427/11093"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Analysis of CDO tranche valuation and the 2008 credit crisis"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:50Z"}