The performance of CPPI on CDO Equity Tranches after Subprime Crisis
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 98 === This paper applied one-factor model with conditional independence to value the CDO spread. The i Traxx Europe 5Y CDS indices, which is composed of 125 investment grade companies, are used to find fair spread of each CDO tranche. We categorize these compan...
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| Format: | Others |
| Language: | zh-TW |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/zmr236 |