Auteur Michael B. Gordy
Documents disponibles écrits par cet auteur (2)
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Article : texte imprimé
Michael B. Gordy, Auteur ; Søren Willemann, Auteur |In its complexity and its vulnerability to market volatility, the constant proportion debt obligation (CPDO) might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a ca[...]
Article : texte imprimé
Michael B. Gordy, Auteur ; Sandeep Juneja, Auteur |Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step, one draws realizations of all risk factors up to the horizon, and in the inner step, one reprices each instrument in the portfolio at th[...]
