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...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2008
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Online Access: | http://ndltd.ncl.edu.tw/handle/w3s9m8 |