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The pricing of CDO based on Incomplete Information Credit model

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0621106-210200
Date21 June 2006
CreatorsLien, Wei-chih
Contributorsnone, none, none, none
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0621106-210200
Rightswithheld, Copyright information available at source archive

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