Qiuming Gao

Chinese Academy of Social Sciences (CASS)

Beijing, 100732

China

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Synthetic CDO Pricing: The Perspective of Risk Integration

Applied Economics, Vol. 47, No. 15, 2015
Number of pages: 28 Posted: 17 Oct 2015 Last Revised: 18 Oct 2015
Conghui Hu, Xun Zhang and Qiuming Gao
Beijing Normal University, Business School, Beijing Normal University (BNU) and Chinese Academy of Social Sciences (CASS)
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Abstract:

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collateral debt obligation (CDO); risk integration; factor model; copula