A Data Science Central Community
THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING
CDO Pricing with Copulae
Barbara Choros
Wolfgang Härdle
Ostap Okhrin
ABSTRACT
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The…
Added by John A Morrison on April 19, 2009 at 11:30pm — No Comments
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
© 2021 TechTarget, Inc.
Powered by
Badges | Report an Issue | Privacy Policy | Terms of Service
Most Popular Content on DSC
To not miss this type of content in the future, subscribe to our newsletter.
Other popular resources
Archives: 2008-2014 | 2015-2016 | 2017-2019 | Book 1 | Book 2 | More
Most popular articles