Synthetic CDO Pricing with External Default Risk and Random Recovery

Synthetic CDO Pricing with External Default Risk and Random Recovery

碩士 === 國立臺北大學 === 統計學系 === 97 === Collateralized debt obligation (CDO) develops very fast in recent year; the price of this product is an important issue. The major research of past literatures investigated that how to price the synthetic CDO. One factor Gaussian copula model becomes the standard pr...

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Bibliographic Details
Main Authors:	TSAi CHI-CHENG, 蔡奇錚
Other Authors:	Chung Lyinn
Format:	Others
Language:	en_US
Published:	2009
Online Access:	http://ndltd.ncl.edu.tw/handle/15236626047746550764

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