Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
Xin Gao, Binlin Wu and Tobias Schäfer
| Year of publication: |
June-September 2017
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| Authors: | Gao, Xin ; Wu, Binlin ; Schäfer, Tobias |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-17
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| Subject: | CDO | Gaussian copula | pricing model | structured securities | Monte Carlo | Multivariate Verteilung | Multivariate distribution | Asset-Backed Securities | Asset-backed securities | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | CAPM | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011778286