Modeling credit risk and credit derivatives

Authors	V.J.G. Leijdekker
Supervisors	M.R.H. Mandjes P.J.C. Spreij
Award date	25-05-2010
ISBN	9789090253398
Number of pages	147
Organisations	Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
Document type	PhD thesis
Note	Research conducted at: Universiteit van Amsterdam
Language	English
Downloads	Thesis Cover Title pages Dankwoord Contents Chapter 1: Introduction Chapter 2: A filtering problem with applications to credit risk Chapter 3: Sample path large deviations in credit risk Chapter 4: An empirical analysis of CDO data Chapter 5: Pricing CDO tranches with factor copula models Summary Samenvatting Bibliography
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