Pricing and Risk Management of Synthetic CDOs

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in...

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Bibliographic Details
Main Author: Schlösser, Anna (Author)
Corporate Author: SpringerLin
Format: Electronic Resource
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint Springer 2011
Series:Lecture Notes in Economics and Mathematical Systems, 0075-8442 ; 646
Subjects:
Online Access:Available for University of the Philippines Diliman via SpringerLink. Click here to access