Synthetic Collateral Debt Obligation Pricing

• Main Author: LIU, Zhanyong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: factor copula model; Levy process; portfolio credit derivatives; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/38; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1037&context=etd_coll
• Institution: Singapore Management University

Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model propos...