Valuation of a CDO with Implied Correlation and Base Correlation
碩士 === 國立中正大學 === 財務金融所 === 95 === Abstract In general, the implied correlation is higher for equity and most senior tranches than for mezzanine tranches, which is known as the correlation smile. This paper uses Gaussian Copula and One-Factor Gaussian Copula methods to price CDO products, and compar...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99152269555210980962 |