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"item_title" : "Pricing and Risk Management of Synthetic CDOs",
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"item_description" : "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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Pricing and Risk Management of Synthetic CDOs
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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