Sökning: "cdo credit derivatives"

Hittade 3 uppsatser innehållade orden cdo credit derivatives.

  1. 1. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Robin Axelsson; [2014-11-26]
    Nyckelord :Interest Rate Swaps; Counterparty Credit Risk;

    Sammanfattning : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. LÄS MER

  3. 2. 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

  4. 3. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Brunlid; [2007]
    Nyckelord :credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. LÄS MER