The Influence of Factors on CDO Pricing Based on Mote Carlo Simulation
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    Abstract:

    CDO is a kind of complex pricing credit derivatives. The key of pricing is the default probability and the default correlation. Based on Monte Carlo method, the paper uses Merton extension model and combines with Copula function to generate default time distribution. And then it calculates the underlying asset portfolios default loss. Based on the premiums and losses of asset portfolios, the paper prices the multiple levels of CDO and analyzes different influence on CDO pricing.

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刘平. CDO定价影响要素的蒙特卡洛模拟研究[J].重庆大学学报社会科学版,2014,20(3):55~60

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History
  • Received:January 18,2013
  • Revised:
  • Adopted:
  • Online: May 12,2014
  • Published: