The One-factor Copula Model and the Time Series Model for Synthetic CDO Pricing
碩士 === 國立政治大學 === 統計研究所 === 103 === Lamb, Perraudin, Landschoot (2009) proposed the one-factor copula model with the common factor under the assumption of AR(p) for pricing synthetic CDO. Their best model was the mixture model with AR(1). Additionally, there were good fits on different tranches, e...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/50805082434077998246 |