Donal A. Gallagher

Quaternion Risk Management

Managing Director

54 Fitzwilliam Square

Dublin 2

Dublin

Ireland

http://www.quaternion.com

SCHOLARLY PAPERS

1

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436

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0

Scholarly Papers (1)

1.

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Number of pages: 25 Posted: 16 Sep 2009
Donal A. Gallagher, James P. Gleeson, Chris Kenyon and Roland Lichters
Quaternion Risk Management, University of Limerick, Ireland, Lloyds Banking Group and Quaternion Risk Management
Downloads 378 (52,421)

Abstract:

cashflow CDO, CLO, tranche, pricing, derivatives, credit, Monte Carlo, simulation