Title page for etd-0621106-210200


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URN etd-0621106-210200
Author Wei-chih Lien
Author's Email Address No Public.
Statistics This thesis had been viewed 5538 times. Download 3667 times.
Department Finance
Year 2005
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The pricing of CDO based on Incomplete Information Credit model
Date of Defense 2006-06-17
Page Count 62
Keyword
  • Incomplete information credit model
  • CDO
  • Copula
  • Abstract Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Incomplete information credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.
    Advisory Committee
  • none - chair
  • none - co-chair
  • none - advisor
  • none - advisor
  • Files
  • etd-0621106-210200.pdf
  • indicate accessible in a year
    Date of Submission 2006-06-21

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