Pricing CDO with Factor Copula Method
碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === In recently years, credit derivatives become more and more popular. Collateralized Debt Obligation is one of the credit derivatives and the trading volumes are growing fast. CDO is backed by a pool of portfolio and then tranched. When pricing CDO, it is an impo...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03201558833773486667 |