Pricing Bespoke Tranche using Base Expected Loss
碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === The compound correlations can be inferred from markets quotes with a standard model; however, there exists the behavior of compound correlation smile. The concept of base correlation which makes evaluation of bespoke tranche possible was introduced by the market...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59580361903044476786 |