Pricing portfolio credit derivatives by means of evolutionary algorithms
Auteur :
Hager, Svenja
Éditeur :
Springer Fachmedien Wiesbaden
ISBN :
9783834909152
Date de publication :
26 mars 2008
Dimensions :
21,0 x 14,8 cm
Langue :
Anglais
Pays d'origine :
Allemagne
Collateralized Debt Obligations (CDOs) are the most prominent example of portfol- related credit derivatives. The standard market model is the Gaussian copula model, which uses only one parameter to summarize the correlations of default times in the underlying credit portfolio.