Showing 1 - 10 of 189,134
Persistent link: https://www.econbiz.de/10012587116
Persistent link: https://www.econbiz.de/10012137805
Persistent link: https://www.econbiz.de/10003727636
Persistent link: https://www.econbiz.de/10003645209
Persistent link: https://www.econbiz.de/10003343404
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
Persistent link: https://www.econbiz.de/10008663092
Persistent link: https://www.econbiz.de/10003971762
investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative …Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently … instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps …
Persistent link: https://www.econbiz.de/10003952648
Persistent link: https://www.econbiz.de/10008779220