Pricing portfolio credit derivatives:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Göteborg
Dep. of Economics, School of Business, Economics and Law, Göteborg Univ.
2007
|
| Series: | Economic studies
164 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Göteborg, Univ., Diss., 2007. - Enth. 4 Einzelbeitr. |
| Physical Description: | Getr. Zählung graph. Darst. |
| ISBN: | 9185169234 9789185169238 |
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Record in the Search Index
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| adam_text | Contents
This thesis consists of a brief introduction to portfolio credit derivative valuation
and the following four appended papers:
Paper 1: A. Herbertsson and H. Rootzen. Pricing fc^ to default swaps under De¬
fault Contagion: the matrix analytic approach. Submitted.
Paper 2: A. Herbertsson. Pricing synthetic CDO tranches in a model with Default
Contagion using the matrix analytic approach. Submitted.
Paper 3: A. Herbertsson. Modelling default contagion using Multivariate Phase
Type distributions. Submitted.
Paper 4: A. Herbertsson. Default contagion in large homogeneous portfolios. Sub¬
mitted.
Paper 1 and Paper 3 contain some revised material taken from my Licentiate of
Engineering thesis.
iii
|
| adam_txt |
Contents
This thesis consists of a brief introduction to portfolio credit derivative valuation
and the following four appended papers:
Paper 1: A. Herbertsson and H. Rootzen. Pricing fc^ to default swaps under De¬
fault Contagion: the matrix analytic approach. Submitted.
Paper 2: A. Herbertsson. Pricing synthetic CDO tranches in a model with Default
Contagion using the matrix analytic approach. Submitted.
Paper 3: A. Herbertsson. Modelling default contagion using Multivariate Phase
Type distributions. Submitted.
Paper 4: A. Herbertsson. Default contagion in large homogeneous portfolios. Sub¬
mitted.
Paper 1 and Paper 3 contain some revised material taken from my Licentiate of
Engineering thesis.
iii |
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| index_date | 2024-07-02T17:53:20Z |
| indexdate | 2024-07-09T20:58:51Z |
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| series2 | Economic studies |
| spelling | Herbertsson, Alexander Verfasser aut Pricing portfolio credit derivatives Alexander Herbertsson Göteborg Dep. of Economics, School of Business, Economics and Law, Göteborg Univ. 2007 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Economic studies 164 Zugl.: Göteborg, Univ., Diss., 2007. - Enth. 4 Einzelbeitr. Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s Economic studies 164 (DE-604)BV017643044 164 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015702446&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Herbertsson, Alexander Pricing portfolio credit derivatives Economic studies Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4046834-3 (DE-588)7660453-6 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Pricing portfolio credit derivatives |
| title_auth | Pricing portfolio credit derivatives |
| title_exact_search | Pricing portfolio credit derivatives |
| title_exact_search_txtP | Pricing portfolio credit derivatives |
| title_full | Pricing portfolio credit derivatives Alexander Herbertsson |
| title_fullStr | Pricing portfolio credit derivatives Alexander Herbertsson |
| title_full_unstemmed | Pricing portfolio credit derivatives Alexander Herbertsson |
| title_short | Pricing portfolio credit derivatives |
| title_sort | pricing portfolio credit derivatives |
| topic | Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Mathematisches Modell Portfolio Selection Kreditderivat Aufsatzsammlung Hochschulschrift |
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