Evaluation of Collaterized Debt Obligations with the Parametric Version of the Implied Copula Approach: An Empirical Analysis
碩士 === 國立東華大學 === 經濟學系 === 100 === One factor Gaussian copula model has long been the most popular model to value Collateralized Debt Obligation. However, after subprime mortgage crisis in 2007, this model doesn’t reflect market fluctuation accurately because the credit risk increases drastically. B...
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| Format: | Others |
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2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/e85dy6 |