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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0119107-180207 |
| Date | 19 January 2007 |
| Creators | Lo, Wen-Chih |
| Contributors | Jen-Jsung Huang, Henry Y. Lo, So-de Shy |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0119107-180207 |
| Rights | not_available, Copyright information available at source archive |
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