The Default Correlation and Pricing Model of a Collateralized Debt Obligation
碩士 === 國立清華大學 === 科技管理研究所 === 93 === To evaluate the default probability and the default correlation are two important issues for pricing the collateralized debt obligation (CDO). In this paper, we provide a complete pricing procedure for CDO tranches. First, we use a KMV model to construct the defa...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/08237896218940226810 |