Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
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- Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8, january-d.
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KeywordsAP; MI; Credit Portfolio Risk; Top-Down; Forward Model; Contagion; Collateralized Debt Obligations;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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