Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Download or Read eBook Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms PDF written by Svenja Hager and published by Springer Science & Business Media. This book was released on 2008-09-08 with total page 176 pages. Available in PDF, EPUB and Kindle.
Author | : Svenja Hager |
Publisher | : Springer Science & Business Media |
Total Pages | : 176 |
Release | : 2008-09-08 |
ISBN-10 | : 9783834997029 |
ISBN-13 | : 3834997021 |
Rating | : 4/5 (29 Downloads) |
Book Synopsis Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms by : Svenja Hager
Book excerpt: Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.