Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Svenja Hager
Springer Fachmedien Wiesbaden, 2008
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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.
- ISBN-13
- 9783834909152
- ISBN-10
- 3834909157
- Publisher
- Springer Fachmedien Wiesbaden
- Year
- 2008
- Publication date
- 2008-03-26
- Pages
- 160
- Dimensions
- 148x210x8
- Weight
- 272