A Relationship Analysis between Credit Risk of CDOs and Underlying Default Correlations
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === This paper employed Hull and White (2004) model named Single Factor Gaussian Copula to determine the relationship between the credit risk of CDOs and the default correlation of underlyings. We found as the default correlation increased, the probability distributi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87552259015865372426 |