The correlation evaluation of collateralized debt obligation (CDO) Tranches
碩士 === 國立嘉義大學 === 企業管理學系 === 99 === The probability of default (PD), the loss given default (LGD), the exposure at default (EAD) and the default correlation are some important issues for the pricing of Collateralized Debt Obligations (CDOs). A growing body of literature indicates that the positive c...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36440769421802474891 |