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Pricing and Risk Management of Synthetic CDOs|Anna Schlösser

Pricing and Risk Management of Synthetic CDOs

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Overview

Introduction.- Part I Fundamentals: Credit Derivatives and Markets.- Mathematical Preliminaries.- Part II Static Models: One Factor Gaussian Copula Model.- Normal Inverse Gaussian Factor Copula Model.- Part III: Term-Structure Models.- Large Homogeneous Cell Approximation for Factor Copula Models.- Regime-Switching Extension of the NIG Factor Copula Model.- Simulation Framework.- Conclusion.

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Details

  • ISBN-13: 9783642156083
  • ISBN-10: 3642156088
  • Publisher: Springer
  • Publish Date: December 2010
  • Dimensions: 9.21 x 6.14 x 0.59 inches
  • Shipping Weight: 0.88 pounds
  • Page Count: 268

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