Copula sensitivity in collateralized debt obligations and basket default swaps
Davide Meneguzzo; Walter Vecchiato
| Year of publication: |
2004
|
|---|---|
| Authors: | Meneguzzo, Davide ; Vecchiato, Walter |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 24.2004, 1, p. 37-70
|
| Subject: | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Kreditsicherung | Collateral | Swap | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Kreditversicherung | Credit insurance |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001850813