Valuation of Collateralized Debt Obligation:Comparisons between Multi-Factor model and KMV model

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === This paper applies the Reduced Form-Factor and Structural Form-KMV model to price the premium of CDO for ” E.SUN bank debt securities assets of the Trust 2005-1”. The discussed models have extended the one-factor model to an multi-factor and assumed the dist...

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Bibliographic Details
Main Authors: Shang-ge Tasi, 蔡尚格
Other Authors: Shu-Ing Liu
Format: Others
Language:zh-TW
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/w3s9m8