Sökning: "Synthetic CDO"

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  1. 1. Portfolio Credit Risk Modeling during the Subprime Crisis

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Erik Svensson; [2011]
    Nyckelord :Portfolio credit risk modeling; Subprime crisis; Credit derivatives; Dynamic default modeling; Synthetic CDO;

    Sammanfattning : Dependence, or correlation, modeling was at the heart of the last decade's booming market for complex, multi-underlying credit derivatives. Portfolio credit risk and pricing models were used for trading, structuring and rating of such derivatives and securities. LÄS MER