Analysis of CDO-Squared: Valuation and Sensitivity
碩士 === 國立中央大學 === 財務金融研究所 === 94 === We would introduce CDO-squared structure and analyze the advantage and disadvantage for investors and traders. Using normal copula to price CDO-squared and do sensitivity analysis of DP/AP, correlations, overlap, recovery rate, and default probability. Finally, w...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/786m4p |