Pricing and Risk Management of Synthetic CDOs (Repost)
Pricing and Risk Management of Synthetic CDOs
Publisher: Springer | ISBN: 3642156088 | edition 2010 | PDF | 300 pages | 3,4 mb
Publisher: Springer | ISBN: 3642156088 | edition 2010 | PDF | 300 pages | 3,4 mb
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 a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework.