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: MARIA LAURA MARCEDDU
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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