Synthetic CDO Pricing with External Default Risk and Random Recovery
碩士 === 國立臺北大學 === 統計學系 === 97 === Collateralized debt obligation (CDO) develops very fast in recent year; the price of this product is an important issue. The major research of past literatures investigated that how to price the synthetic CDO. One factor Gaussian copula model becomes the standard pr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15236626047746550764 |