Pricing and Risk Management of Synthetic CDOs
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in...
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| Format: | Electronic eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2011.
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| Series: | Lecture Notes in Economics and Mathematical Systems,
646 |
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| Online Access: | Full Text via HEAL-Link |
