In these two papers, ‘Multiple Risky Securities Valuation I - II', we represented a simplified scheme of the CDO's tranches valuation. The main difference between our approach and benchmark is that we dealing with market cash flows in contrast to expected cash flows usually used for...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...