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Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius...
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derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of … of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent … consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be …
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Finanzmathematische Grundlagen -- Eigenschaften und Bewertung von Derivaten -- Der Einsatz von Derivaten -- Hedging mit Derivaten -- Derivate zur Optimierung der Performance -- Risikosteuerung -- Besondere Herausforderungen beim Derivateeinsatz -- Derivate als Informationsquelle.
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