Synthetic Collateral Debt Obligation Pricing
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |