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The pricing of CDO based on Incomplete Information Credit modelLien, 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.
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