The pricing and hedging of synthetic CDOs under the conditional independence assumption

In this paper we investigate the valuation and hedging issues of synthetic collateral debt obligations (CDOs) under the conditional independence assumption. The probability bucketing method of Hull and White (2004) enables us to construct the loss distribution, and we characterize the correlation st...

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Main Authors: CHIANG, Mi-Hsiu, YUEH, Meng-Lan, LIN, An-Ping
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2009
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在線閱讀:https://ink.library.smu.edu.sg/soa_research/1566
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機構: Singapore Management University
語言: English

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