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Pricing and risk management of synthetic CDOs

Author: Anna Schlösser
Publisher: Berlin : Springer Verlag, ©2011.
Series: Lecture notes in economics and mathematical systems, 646.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This book outlines the one-factor copula model for credit portfolios. This is used for pricing synthetic CDO structures as well as for risk management and measurement applications, making a  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Anna Schlösser
ISBN: 9783642156083 3642156088
OCLC Number: 663950162
Description: xii, 268 pages : illustrations ; 24 cm.
Contents: Introduction.- Part I Fundamentals: Credit Derivatives and Markets.- Mathematical Preliminaries.- Part II Static Models: One Factor Gaussian Copula Model.- Normal Inverse Gaussian Factor Copula Model.- Part III: Term-Structure Models.- Large Homogeneous Cell Approximation for Factor Copula Models.- Regime-Switching Extension of the NIG Factor Copula Model.- Simulation Framework.- Conclusion.
Series Title: Lecture notes in economics and mathematical systems, 646.
Responsibility: Anna Schlösser.
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