How correlation risk in basket credit derivatives might be priced and managed?
Year of publication: |
2021
|
---|---|
Authors: | Zhu, Dong-Mei ; Gu, Jia-wen ; Yu, Feng-Hui ; Ching, Wai Ki ; Siu, Tak Kuen |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 32.2021, 2, p. 195-219
|
Subject: | edging | pricing | Gaussian copula models | basket credit default swaps | Derivat | Derivative | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Korrelation | Correlation | Stochastischer Prozess | Stochastic process |
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