Study of Base Correlation under Different CDO Pricing Methods
碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === Using a rule for prioritizing the cash flow payments to the issued CDO securities, it is possible to redistribute the credit risk of the pool of assets to create securities with a variety of risk profiles. In doing so, portfolio that consists of low liquidity or...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66168401515974168042 |