Computing Base Correlation of CDX Equity Tranche
碩士 === 國立臺灣大學 === 財務金融學研究所 === 98 === While pricing Collateral Debt Obligations, using base expected loss and piecewise quadratic interpolation can find the fair spreads for bespoke tranches without arbitrage. But, according to the master thesis of Mr. Lin Chung-Yao in 2008, the base correlation imp...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31099400273909130920 |