7. An Overview of Factor Modeling for CDO Pricing
- Rama Cont
Published Online: 3 JAN 2012
DOI: 10.1002/9781118266915.ch7
Copyright © 2009 John Wiley & Sons, Inc. All rights reserved.
Book Title
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
Additional Information
How to Cite
Laurent, J.-P. and Cousin, A. (2008) An Overview of Factor Modeling for CDO Pricing, in Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling (ed R. Cont), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266915.ch7
Publication History
- Published Online: 3 JAN 2012
- Published Print: 27 OCT 2008
ISBN Information
Print ISBN: 9780470292921
Online ISBN: 9781118266915
- Summary
- Chapter
- References
Keywords:
- collateralized debt obligation;
- pricing models;
- credit portfolios;
- credit derivatives;
- modern finance
Summary
This chapter contains sections titled:
Pricing of Portfolio Credit Derivatives
Factor Models for the Pricing of CDO Tranches
A Review of Factor Approaches to the Pricing of CDOs
Conclusion