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This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...