Pricing and Risk Management of Synthetic CDOs

By Anna Schlosser and Anna Schlösser

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.

• Format: Paperback
• Language: English
• ISBN: 3642156088
• ISBN13: 9783642156083
• Release Date: December 2010
• Publisher: Springer
• Length: 268 Pages
• Weight: 0.88 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"