Blar i NTNU Open på forfatter "Sætre, Tormod"
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Modeling collateralized debt obligations: A copula approach
Sætre, Tormod (Master thesis, 2007)This master thesis gives an introduction to collateralized debt obligations (CDOs), and presents three models for pricing CDO tranches - The Vasicek model, which is considered to be the standard market model, the double ...