文档介绍：Svenja Hager
Pricing Portfolio Credit Derivatives
by Means of Evolutionary Algorithms
GABLER EDITION WISSENSCHAFT
Svenja Hager
Pricing Portfolio Credit
Derivatives by Means of
Evolutionary Algorithms
With a foreword by Prof. Dr.-Ing. Rainer Schöbel
GABLER EDITION WISSENSCHAFT
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Dissertation Universität Tübingen, 2007
1st Edition 2008
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Dedicated to my parents and my beloved husband.
Foreword
Collateralized Debt Obligations (CDOs) are the most prominent example of portfolio-
related credit derivatives. They make it possible to diversify and transfer credit risk by
pooling and redistributing the risks of an underlying portfolio of defaultable assets. It
comes as no surprise that the dependence structure of portfolio assets is crucial for the
valuation of CDO tranches. The standard market model is the Gaussian copula model,
which uses only one parameter to summarize the correlations of default times in the
underlying credit portfolio. Comp