Description
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. :Dr. Svenja Hager promovierte bei Prof. Dr.-Ing. Rainer Schbel am Lehrstuhl fr Betriebswirtschaftslehre, insbesondere Betriebliche Finanzwirtschaft, der Universitt Tbingen. Sie ist als Kredit- und Marktrisiko-Expertin ttig. Collateralized debt obligations: structure and valuation Explaining the implied correlation smile Optimization by means of Evolutionary Algorithms Evolutionary Algorithms in finance: deriving the dependence structure
