Pricing and Risk Management of Synthetic CDOs

• Main Author: Schlösser, Anna (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2011.
• Series: Lecture Notes in Economics and Mathematical Systems, 646
• Subjects: Finance.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Finance, general.; Quantitative Finance.; Applications of Mathematics.

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...