The Valuation and Risk Measure of CDO-Squared under Conditional Independence
碩士 === 國立政治大學 === 金融研究所 === 95 === In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss d...
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| Format: | Others |
| Language: | en_US |
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2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06886322499539142453 |