Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs
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Published By Springer Berlin Heidelberg

9783642156083, 9783642156090

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Normal Inverse Gaussian Factor Copula Model

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_5 ◽

2010 ◽

pp. 129-163

Author(s):

Anna Schlösser

Keyword(s):

Copula Model ◽

Inverse Gaussian ◽

Normal Inverse Gaussian

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Introduction

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_1 ◽

2010 ◽

pp. 1-4

Author(s):

Anna Schlösser

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Simulation Framework

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_9 ◽

2010 ◽

pp. 227-252

Author(s):

Anna Schlösser

Keyword(s):

Simulation Framework

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Credit Derivatives and Markets

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_2 ◽

2010 ◽

pp. 7-66

Author(s):

Anna Schlösser

Keyword(s):

Credit Derivatives

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Large Homogeneous Cell Approximation for Factor Copula Models

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_7 ◽

2010 ◽

pp. 177-183

Author(s):

Anna Schlösser

Keyword(s):

Copula Models ◽

Homogeneous Cell

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Term Structure Dimension

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_6 ◽

2010 ◽

pp. 167-176

Author(s):

Anna Schlösser

Keyword(s):

Term Structure ◽

Structure Dimension

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Mathematical Preliminaries

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_3 ◽

2010 ◽

pp. 67-92

Author(s):

Anna Schlösser

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Regime-Switching Extension of the NIG Factor Copula Model

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_8 ◽

2010 ◽

pp. 185-226

Author(s):

Anna Schlösser

Keyword(s):

Regime Switching ◽

Copula Model

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One Factor Gaussian Copula Model

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_4 ◽

2010 ◽

pp. 95-127

Author(s):

Anna Schlösser

Keyword(s):

Gaussian Copula ◽

Copula Model

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Conclusion

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs ◽

10.1007/978-3-642-15609-0_10 ◽

2010 ◽

pp. 253-256

Author(s):

Anna Schlösser

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Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer Berlin Heidelberg

Normal Inverse Gaussian Factor Copula Model

Introduction

Simulation Framework

Credit Derivatives and Markets

Large Homogeneous Cell Approximation for Factor Copula Models

Term Structure Dimension

Mathematical Preliminaries

Regime-Switching Extension of the NIG Factor Copula Model

One Factor Gaussian Copula Model

Conclusion

Lecture Notes in Economics and Mathematical Systems - Pricing and Risk Management of Synthetic CDOs
Latest Publications