Titlebook: Collateralized Debt Obligations; A Moment Matching Pr Enrico Marcantoni Book 2014 Springer Fachmedien Wiesbaden 2014 CDO/CDX.Copula Functio

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書目名稱Collateralized Debt Obligations影響因子(影響力)




書目名稱Collateralized Debt Obligations影響因子(影響力)學(xué)科排名




書目名稱Collateralized Debt Obligations網(wǎng)絡(luò)公開度




書目名稱Collateralized Debt Obligations網(wǎng)絡(luò)公開度學(xué)科排名




書目名稱Collateralized Debt Obligations被引頻次




書目名稱Collateralized Debt Obligations被引頻次學(xué)科排名




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書目名稱Collateralized Debt Obligations年度引用學(xué)科排名




書目名稱Collateralized Debt Obligations讀者反饋




書目名稱Collateralized Debt Obligations讀者反饋學(xué)科排名

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J?rg Krause,Christian Langhirt,Martin D?ringvatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.

Directed

https://doi.org/10.1057/9781137088369first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.

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https://doi.org/10.1007/978-3-658-04846-4CDO/CDX; Copula Functions; Derivatives; Pricing Techniques; Risk Management

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Perceive

Introduction,vatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.

Perceive

Implementation,first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.

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Ingenuity

Personalization and Social Features,rs..A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of is

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