Now showing items 1-3 of 3

• #### Modeling collateralized debt obligations: A copula approach ﻿

(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 ...
• #### Multivariate DCC-GARCH Model: -With Various Error Distributions ﻿

(Master thesis, 2009)
In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in ...
• #### Statistical Modelling of Financial Risk ﻿

(Doktoravhandlinger ved NTNU, 1503-8181; 2008:5, Doctoral thesis, 2007)