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Schlösser, Anna

Pricing and Risk Management of Synthetic CDOs

Schlösser, Anna - Pricing and Risk Management of Synthetic CDOs, ebook

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ISBN: 9783642156090
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Table of contents

1. Introduction
Anna Schlösser

2. Credit Derivatives and Markets
Anna Schlösser

3. Mathematical Preliminaries
Anna Schlösser

4. One Factor Gaussian Copula Model
Anna Schlösser

5. Normal Inverse Gaussian Factor Copula Model
Anna Schlösser

6. Term Structure Dimension
Anna Schlösser

7. Large Homogeneous Cell Approximation for Factor Copula Models
Anna Schlösser

8. Regime-Switching Extension of the NIG Factor Copula Model
Anna Schlösser

9. Simulation Framework
Anna Schlösser

10. Conclusion
Anna Schlösser

Keywords: Economics/Management Science, Finance /Banking, Quantitative Finance, Applications of Mathematics

Author(s)
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Series
Lecture Notes in Economics and Mathematical Systems
Category
Economy
Format
Ebook
eISBN (PDF)
9783642156090

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