Correlation Structure Implied form CDO Markets
碩士 === 國立中央大學 === 財務金融研究所 === 94 === In this paper, to examine different correlation structures between high and low quality names in a CDO, we separate the portfolio into two groups with different hazard rates. First, under one-factor model, the results show that correlations are higher among low q...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68949472825566532727 |