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The hidden correlation of collateralized debt obligations

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Reference no: EM134821 , Length: 60

Dissertation writing help - The Hidden Correlation of Collateralized Debt Obligations

Custom Dissertation Writing Service - model for the correlation structure of reference portfolios

We advise a model for the correlation structure of reference portfolios of collateralized debt obligations. The model is capable of exhibiting distinctive characteristics of the implied correlation smile (skew, respectively) observed in the market. Thus, it features a simple economic interpretation and is computationally inexpensive as it obviously integrates into the factor model framework.

Reference no: EM134821

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