Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.

Publication Year: 2008
Imprint: Gabler Verlag
Format: P
Weight (Gram): 259