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Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Svenja Hager
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Description for Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Paperback. Num Pages: 187 pages, 51 black & white illustrations, 8 black & white tables. BIC Classification: KFF; KJT. Category: (P) Professional & Vocational. Dimension: 210 x 148. Weight in Grams: 250.
Collateralized Debt Obligations (CDOs) are the most prominent example of portfol- related credit derivatives. They make it possible to diversify and transfer credit risk by pooling and redistributing the risks of an underlying portfolio of defaultable assets. It comes as no surprise that the dependence structure of portfolio assets is crucial for the valuation of CDO tranches. 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. Comparable with the volatility smile from option pricing, this simpli?cation leads to an implied correlation smile when ... Read more
Collateralized Debt Obligations (CDOs) are the most prominent example of portfol- related credit derivatives. They make it possible to diversify and transfer credit risk by pooling and redistributing the risks of an underlying portfolio of defaultable assets. It comes as no surprise that the dependence structure of portfolio assets is crucial for the valuation of CDO tranches. 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. Comparable with the volatility smile from option pricing, this simpli?cation leads to an implied correlation smile when ... Read more
Product Details
Format
Paperback
Publication date
2008
Publisher
Springer Fachmedien Wiesbaden Germany
Number of pages
187
Condition
New
Number of Pages
160
Place of Publication
Wiesbaden, Germany
ISBN
9783834909152
SKU
V9783834909152
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Svenja Hager
Dr. Svenja Hager promovierte bei Prof. Dr.-Ing. Rainer Schöbel am Lehrstuhl für Betriebswirtschaftslehre, insbesondere Betriebliche Finanzwirtschaft, der Universität Tübingen. Sie ist als Kredit- und Marktrisiko-Expertin tätig.
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