Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
- ISBN-10
- 3834997021
- ISBN-13
- 9783834997029
- Category
- Business & Economics
- Pages
- 160
- Language
- English
- Published
- 2008-09-08
- Publisher
- Springer Science & Business Media
- Author
- Svenja Hager
Description
Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.
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