A comparison of the methods used to determine the portfolio credit loss distribution and the pricing of synthetic CDO tranches
This work aims to provide an introduction to the methodologies used for determining the loss distribution of a heterogeneous portfolio of credit default swaps. For all the methods considered, the theory and the algorithms are presented and their computational efficiency and accuracy investigated....
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| Format: | Others |
| Language: | en |
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2011
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| Online Access: | http://hdl.handle.net/10539/9273 |