Pricing and Risk Management of Synthetic CDOs
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in...
| 主要作者: | |
|---|---|
| 企业作者: | |
| 格式: | Electronic Resource |
| 语言: | 英语 |
| 出版: |
Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint
Springer
[©2011]
|
| 丛编: | Lecture Notes in Economics and Mathematical Systems, 0075-8442 ; 646
|
| 主题: | |
| 在线阅读: | Available for University of the Philippines Diliman via SpringerLink. Click here to access |