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Browsing by Author "Choroś, Barbara"
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2009-07-30BuchCDO and HAC Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, OstapModelling 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 ...
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2009-03-06BuchCDO Pricing with Copulae Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, OstapModeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and ...