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.


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.


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


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