作者: 易于交談 時間: 2025-3-21 22:34
J?rg Krause,Christian Langhirt,Martin D?ringvatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.作者: Directed 時間: 2025-3-22 01:45
https://doi.org/10.1057/9781137088369first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.作者: Accomplish 時間: 2025-3-22 06:01
https://doi.org/10.1007/978-3-658-04846-4CDO/CDX; Copula Functions; Derivatives; Pricing Techniques; Risk Management作者: 得體 時間: 2025-3-22 09:15 作者: Perceive 時間: 2025-3-22 15:19
Introduction,vatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.作者: Perceive 時間: 2025-3-22 18:04
Implementation,first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.作者: 笨拙的我 時間: 2025-3-22 21:13 作者: Ingenuity 時間: 2025-3-23 04:38
Personalization and Social Features,rs..A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of is作者: FLIRT 時間: 2025-3-23 06:51 作者: 虛假 時間: 2025-3-23 13:01 作者: 跳脫衣舞的人 時間: 2025-3-23 17:10 作者: STERN 時間: 2025-3-23 19:50 作者: 截斷 時間: 2025-3-24 01:49
Introduction to SharePoint Technologies,In this chapter will be presented the "Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach" by Castagna, Mercurio and Mosconi (2012)..The model will be extended and implemented in the next two chapters.作者: Cougar 時間: 2025-3-24 02:50 作者: Stricture 時間: 2025-3-24 09:11 作者: 翻布尋找 時間: 2025-3-24 11:18 作者: mettlesome 時間: 2025-3-24 14:53 作者: 胎兒 時間: 2025-3-24 22:49 作者: EPT 時間: 2025-3-25 00:11
2625-3577 ions (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton copul作者: Accessible 時間: 2025-3-25 03:38 作者: Expediency 時間: 2025-3-25 10:46
Palgrave Studies in Oral Historyn rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I derived the moments (Proposition 6.1 and 6.2). Finally I derived the . formula for this setup (Proposition 6.3).作者: Lasting 時間: 2025-3-25 15:08 作者: 推延 時間: 2025-3-25 16:06
Extensions to the Model,n rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I derived the moments (Proposition 6.1 and 6.2). Finally I derived the . formula for this setup (Proposition 6.3).作者: ascend 時間: 2025-3-25 23:52 作者: dragon 時間: 2025-3-26 04:01
Book 2014prices, it is possible to notice that the Clayton approach leads to smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.作者: saturated-fat 時間: 2025-3-26 07:12
2625-3577 smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.978-3-658-04845-7978-3-658-04846-4Series ISSN 2625-3577 Series E-ISSN 2625-3615 作者: Indent 時間: 2025-3-26 09:49
Introduction,vatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.作者: 打包 時間: 2025-3-26 13:48
Copula functions and dependency concepts,rs..A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of is作者: 減去 時間: 2025-3-26 17:32
Extensions to the Model,st extension I have rewritten the original model in terms of Archimedean Copulas. The dependencies structure of the original loss distribution has been rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I der作者: AFFIX 時間: 2025-3-26 23:33
Implementation,first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring t作者: tympanometry 時間: 2025-3-27 01:48
Shortage of Physicians: A Critical Review,crease the flexibility of teaching; (iii) education shortening, e.g., to 4?years, for nurses, paramedics, and the like; (iv) circumscription of unnecessary health records and the use of artificial intelligence to streamline the recording system to ease the burden on the medical staff.作者: Canyon 時間: 2025-3-27 06:34 作者: Somber 時間: 2025-3-27 09:34 作者: AMITY 時間: 2025-3-27 16:11
Book 2004interests of the group have extended to a variety of areas in cryptography. This edited volume includes 32 contributed chapters. The material will cover a range of topics, from mathematical results of cryptography to practical applications. This book also includes a sample of research, conducted by 作者: Aura231 時間: 2025-3-27 20:48 作者: 有發(fā)明天才 時間: 2025-3-27 22:01 作者: Tempor 時間: 2025-3-28 02:54
