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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/31182

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31182

Title:	股權擔保債權憑證之研究:因子模型的延伸 The Pricing and Hedging of Equity Collateralized Debt Obligations (ECDOs): Using an Autonomous Factor Copulae Model
Authors:	周政偉 Jheng Wei,Jhou
Contributors:	江彌修 Mi Hisu,Chiang 周政偉 Jheng Wei,Jhou
Keywords:	無
Date:	2006
Issue Date:	2009-09-14 09:29:22 (UTC+8)
Abstract:	無
Reference:	Albanese, C. and O. Chen (2005), “Pricing equity default swaps”, Risk, 18(6), 83–87. Christian Bluhm, Ludger Overbeck and Christoph Wagne (2003), An Introduction to CREDIT RISK MODELING, CHAPMAN & HALL/CRC. David X. Li (2000), “On Default Correlation: A Copula Function Approach”, The Journal of Fixed Income, 9(4), 43–54. Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, 12(2),8–24. Medova, E. and R. Smith (2006), “A structural approach to EDS pricing”, Risk, 19(4), 84–88. Musiela, M. and M. Rutkowski (2004), Martingale methods in financial modelling, Springer-Verlag, second edition. Satyajit Das (2005), CREDIT DERIVATIVES CDOs AND STRUCTURED CREDIT PRODUCTS, John Wiley and Sons, third edition.
Description:	碩士國立政治大學金融研究所 94352012 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094352012
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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