Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms - Hager, Svenja

Name: Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms - Hager, Svenja
Brand: Springer Fachmedien Wiesbaden

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Springer Fachmedien Wiesbaden

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Collateralized Debt Obligations (CDOs) are the most prominent example of portfol- related credit derivatives. The standard market model is the Gaussian copula model, which uses only one parameter to summarize the correlations of default times in the underlying credit portfolio.

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