The debts’ default probabilities underlying CDOs
Zhang, Shuyi (A.A. 2007/2008) The debts’ default probabilities underlying CDOs. Tesi di Laurea in International finance, LUISS Guido Carli, relatore Pierpaolo Benigno, pp. 53. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Subprime mortgage crisis. Rating agency. Default probability. Default intensity. CDO ratings. Collateralized debt obligation (CDO). Tranche. Attachment point. Detachment point. Gaussian copula. Student-t copula, time to default model. Underlying debts. Underlying correlation. The subprime mortgage crisis. Implementation on an example.
References
Bibliografia: pp. 52-53.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in General Management, English language (84/S) |
| Chair: | International finance |
| Thesis Supervisor: | Benigno, Pierpaolo |
| Thesis Co-Supervisor: | Marcati, Alberto |
| Academic Year: | 2007/2008 |
| Session: | Summer |
| Deposited by: | Users 353 not found. |
| Date Deposited: | 25 Mar 2011 17:38 |
| Last Modified: | 16 Oct 2018 06:49 |
| URI: | https://tesi.luiss.it/id/eprint/2431 |
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