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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-2198 |
| Date | January 2008 |
| Creators | Iakovleva, Anna |
| Publisher | Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (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, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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