<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>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-2198 |
| Date | January 2008 |
| Creators | Iakovleva, Anna |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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