Essays about: "Anna Iakovleva"

Found 1 essay containing the words Anna Iakovleva.

  1. 1. Pricing of CDO Tranches by Means of Implied Expected Loss

    University essay from Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Anna Iakovleva; [2008]
    Keywords : CDO; expected loss;

    Abstract : In this thesis an approach to CDO tranche valuation is described. This approach allows to check market quotes for arbitrage opportunities, to obtain expected portfolio losses from the market quotes and to price CDO tranches with non-standard maturities and attachment/ detachment points. READ MORE