Collateralized Bond Obligation Pricing:An Integration of Intrinsic Valuation and Factor Copula Approach
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Most of the existing studies on portfolio loss focus on default correlation and tail dependence. Few of them consider the dynamics of risk structure and the endogenous recovery rate. We introduce a new approach to the evaluation of multi-period portfolio credi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43869151462320847855 |