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Pricing and Risk Management of Synthetic CDOs合成cdo的定价和风险管理.pdf 282页

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Lecture Notes in Economics and Mathematical Systems 646 Founding Editors: M. Beckmann H.P. Künzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II, 58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Editorial Board: H. Dawid, D. Dimitrow, A. Gerber, C-J. Haake, C. Hofmann, T. Pfeiffer, R. Slowiński, W.H.M. Zijm For further volumes: /series/300 . Anna Schlösser Pricing and Risk Management of Synthetic CDOs 123 Dr. Anna Schlösser risklab GmbH Hedging and Derivatives Strategies Seidlstraße 24-24a 80335 Munich Germany anna.schloesser@ ISSN 0075-8442 ISBN 978-3-642-15608-3 e-ISBN 978-3-642-15609-0 DOI 10.1007/978-3-642-15609-0 Springer Heidelberg Dordrecht London New York © Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permissions for use must always be obtained from Springer. Violat- ions are liable for prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use


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