Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
by Alexander Herbertsson
| Year of publication: |
31 Oct. 2007
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| Other Persons: | Herbertsson, Alexander (contributor) |
| Publisher: |
Göteborg : Dep. of Economics, Göteborg Univ. |
| Subject: | Kreditderivat | Credit derivative | Kreditversicherung | Credit insurance | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
| Extent: | Online-Ressource, 27 S. = 401 KB, Text graph. Darst. |
|---|---|
| Series: | Working papers in economics. - Göteborg, ISSN 1403-2465, ZDB-ID 2684052-2. - Vol. 270 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003571937