The Pricing and Hedging of Spot and Forward-Starting Collateralized Debt Obligations-via Default Contagion

碩士 === 國立暨南國際大學 === 財務金融學系 === 98 === In this paper we investigate the valuation and hedging issues of spot and forward-starting collateral debt obligations(CDOs) under the conditional independence assumption and default contagion effect. We use the factor model that describes the firm value by Laur...

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Bibliographic Details
Main Authors: Ming-Shun Kao, 高銘舜
Other Authors: Hsiang-Hui Chu
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/12085876859275536071

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