Applying Copula to simulate default time and Loss Amount to study CDO yield and default Risk by spread discount approach
碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 96 === The main purpose of this research is to analyze how correlation and recovery rate influence the collateralized debt obligation (CDO) by evaluating the risk of CDO. We adopt Laurent and Gregory’s mechanism of spread analysis to perform Monte Carlo simulation,...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/rwsw3j |