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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Pricing of CDO Tranches by Means of Implied Expected Loss

Iakovleva, Anna January 2008 (has links)
<p>In this thesis an approach to CDO tranche valuation is described.</p><p>This approach allows to check market quotes for arbitrage opportunities,</p><p>to obtain expected portfolio losses from the market quotes</p><p>and to price CDO tranches with non-standard maturities and attachment/</p><p>detachment points. A significant advantage of this approach is</p><p>the possibility to avoid the necessity of construction of a correlation</p><p>structure between names in the reference basket. Standard approaches</p><p>to CDO valuation, based on copula functions are also considered.</p>
2

The pricing of CDO based on Macroeconomic and financial ratio Credit model

Lo, Wen-Chih 19 January 2007 (has links)
Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. As to financial institution, how to control credit risks and venture capital to count and withdraw the implementation with new Basel capital protocol, will concern the competitiveness of the financial institution. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Macroeconomic and financial ratio credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.
3

none

Wu, Jih-shih 20 January 2009 (has links)
none
4

Pricing of CDO Tranches by Means of Implied Expected Loss

Iakovleva, Anna January 2008 (has links)
In this thesis an approach to CDO tranche valuation is described. This approach allows to check market quotes for arbitrage opportunities, to obtain expected portfolio losses from the market quotes and to price CDO tranches with non-standard maturities and attachment/ detachment points. A significant advantage of this approach is the possibility to avoid the necessity of construction of a correlation structure between names in the reference basket. Standard approaches to CDO valuation, based on copula functions are also considered.
5

none

Wu, Hui-fang 28 August 2008 (has links)
none
6

擔保債權憑證之評價-BET、Copula與Factor Copula方法之比較與分析

張耀洲, Chang, Yao-Chou Unknown Date (has links)
資產證券化源自1970年代,第一筆擔保債權憑證交易自1988年出現在美國,然後在歐美迅速發展,目前已成為重要的之債券市場。台灣金融產業發展正值轉型期,銀行除面對低利率帶來經營壓力之外,同時亦需規避評等較差之企業貸款的信用風險,而保險業者在低利率時代來臨卻無良好報酬之投資標的可供投資。因此,此環境乃為推動證券化之良好契機。自1997年發生東南亞金融危機,乃至1998年韓國的亞洲金融危機,造成許多跨國企業紛紛裁員、關廠、甚至倒閉,造成一連串的金融危機連鎖效應。因此,公司間或產業間之榮枯是相互關聯的,且均會受總體經濟因素所影響。是以,近年來除信用風險亦成為近年來財務領域上重要議題。理論或實證上,當多個標的資產之信用衍生性商品被加以開發,並用來管理信用風險的時候,需考慮多個標的資產間的違約相關性,方能準確地衡量信用風險。故在信用風險管理與信用衍生性商品的評價中,違約相關性的估計與考量顯得格外重要。結構式或縮減式模型在發展違約相關性的多變數模型中是困難的,因為其衍生性商品價值的理論推導繁複或其數值計算是相當費時。本文在多標的資產之信用風險評價模型中,透過適當個別資產之邊際違約機率與Copula函數之選擇,及其相關參數之估算,即可快速求算具違約相關性之多變數聯合機率函數,以利擔保債權憑證(CDO)之評價。因此,本文針對BET、Copula、Factor Copulas等三種方法與分析架構做一剖析,再以國內153家上市公司所發行無擔保債券作為連結標的之擔保債權憑證為例,進行模擬實證並分析結果。
7

Surface chemistry considerations for enhanced vapor deposition of metals

Elko-Hansen, Tyler Don-Michel 16 September 2014 (has links)
Electrolessly deposited CoWP capping layers have been demonstrated to effectively reduce electromigration of Cu at the interconnect/dielectric-barrier cap interface while reducing resistivity relative to SiCN. However, as device dimensions scale, the need for alternative methods for the selective deposition of sub-5 nm, ultrathin, conformal Co capping layers is apparent. To develop methods for area-selective atomic layer deposition (AS-ALD) of Co caps for next-generation Cu interconnects, the ALD behavior of bis(N-tert-butyl-N’-ethylpropionamidinato) cobalt(II) (CoAMD) is evaluated on Cu, SiO₂, and a porous low-k ( ~2.6) dielectric, CDO. The first and second ALD half reactions of CoAMD on the respective substrates is evaluated with H₂ coreactant by adsorbing the precursor on the substrates under ALD cycling conditions at 265 °C with and without coreactant exposure. The adsorption studies indicate that CoAMD preferentially deposits most on Cu and least on CDO. Further, CoAMD, like other amidinate precursors, readily dissociates on the Cu transition metal surface but the ultimate per-cycle coverage is self-limited by the slow desorption of amidinate ligands and fragments from the Cu surface. Co films deposited by ALD from CoAMD on Cu at 265 °C indicate that Co burrows into the lower energy Cu surface as the film grows in order to reduce the free surface energy. The Cu remains as a surfactant-like layer on the topmost Co surface up to film thicknesses of at least 16 nm. Moreover, considerable intermixing at the Co/Cu interface and Cu concentration several nm into the Co films are observed indicating high surface mobility of the two materials and Cu diffusion at polycrystalline Co grain boundaries. Finally, employing low-tempurature ALD and selectively passivating the dielectric surfaces with OH targeting passivants leads to enhanced selectivity of CoAMD for deposition on Cu versus SiO₂ and CDO. Depositing Co from CoAMD on Cu and CDO at 165 °C after 500 kTorr-s exposure to trimethylchlorosilane at 50 °C leads to a 30:1 preference for Co accumulation on Cu, a twelve times improvement compared to deposition on cleaned Cu and CDO at 265 °C. / text
8

The pricing of CDO based on Incomplete Information Credit model

Lien, Wei-chih 21 June 2006 (has links)
Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Incomplete information credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.
9

Accelerating an Analytical Approach to Collateralized Debt Obligation Pricing

Gupta, Dharmendra 19 January 2010 (has links)
In recent years, financial simulations have gotten computationally intensive due to larger portfolio sizes, and an increased demand to perform real-time risk analysis. In this paper, we propose a hardware implementation that uses a recursive analytical method to price the Collateralized Debt Obligations. A novel convolution approach based on FIFOs for storage is implemented for the recursive convolution. It is also used to address one of the main drawbacks of the analytical approach. The FIFO-based convolution approach is compared against two different convolution approaches outperforming them with a much smaller memory usage. The CDO core designed with the FIFO-based convolution method is implemented and tested on a Virtex-5 FPGA and compared against a C implementation, running on a 2.8GHz Intel Processor, resulting in a 41-fold speed up. A brief comparison against a Monte Carlo based hardware implementation for structured instruments yields mixed results.
10

Accelerating an Analytical Approach to Collateralized Debt Obligation Pricing

Gupta, Dharmendra 19 January 2010 (has links)
In recent years, financial simulations have gotten computationally intensive due to larger portfolio sizes, and an increased demand to perform real-time risk analysis. In this paper, we propose a hardware implementation that uses a recursive analytical method to price the Collateralized Debt Obligations. A novel convolution approach based on FIFOs for storage is implemented for the recursive convolution. It is also used to address one of the main drawbacks of the analytical approach. The FIFO-based convolution approach is compared against two different convolution approaches outperforming them with a much smaller memory usage. The CDO core designed with the FIFO-based convolution method is implemented and tested on a Virtex-5 FPGA and compared against a C implementation, running on a 2.8GHz Intel Processor, resulting in a 41-fold speed up. A brief comparison against a Monte Carlo based hardware implementation for structured instruments yields mixed results.

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