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From insurance risk to credit portfolio management: a new approach to pricing CDOs - MaRDI portal

From insurance risk to credit portfolio management: a new approach to pricing CDOs (Q4554223)

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scientific article; zbMATH DE number 6976821
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English
From insurance risk to credit portfolio management: a new approach to pricing CDOs
scientific article; zbMATH DE number 6976821

    Statements

    title
    From insurance risk to credit portfolio management: a new approach to pricing CDOs (English)
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    author
    Alessandro Andreoli
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    Graziella Pacelli
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    publication date
    13 November 2018
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    zbMATH Keywords
    collateralized debt obligation
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    CDO
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    incomplete market
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    sharpe ratio
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    bid-ask spread
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    finite difference
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    cites work
    Q4828653
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    Q2763689
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    Q3410604
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    Q5665539
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G20
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    91G40
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    zbMATH DE Number
    6976821
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    OpenAlex ID
    W2344661477
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