Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

by Svenja Hager

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.

MoreLess

Year of publication:	2008
Other Persons:	Hager, Svenja (contributor)
Publisher:	Wiesbaden : Betriebswirtschaftlicher Verlag Dr. Th. Gabler / GWV Fachverlage GmbH, Wiesbaden
Subject:	Derivat \| Derivative \| Kreditrisiko \| Credit risk \| Kapitalmarkttheorie \| Financial economics \| Evolutionsökonomik \| Evolutionary economics \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Collateralized debt obligation \| Evolutionärer Algorithmus \| Derivat <Wertpapier> \| Preisbildung \| Algorithmus \| Kreditderivat
Description of contents:	Description [swbplus.bsz-bw.de]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (XXVII, 160p. 51 illus, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 147 - 160 Preliminary; Collateralized Debt Obligations: Structure and Valuation; Introduction; Explaining the Implied Correlation Smile; Optimization by Means of Evolutionary Algorithms; Evolutionary Algorithms in Finance: Deriving the Dependence Structure; Experimental Results; Summary and Outlook; Back matter
ISBN:	978-3-8349-9702-9 ; 978-3-8349-0915-2
Other identifiers:	10.1007/978-3-8349-9702-9 [DOI]
Classification:	Investition, Finanzierung ; Banken, Versicherungen ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013521042