Empirical copulas for CDO trance pricing using relative entropy
Michael A. H. Dempster; Elena A. Medova and Seung W. Yang
| Year of publication: |
2007
|
|---|---|
| Authors: | Dempster, Michael A. H. ; Medova, Elena A. ; Yang, Seung W. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 10.2007, 4, p. 679-701
|
| Subject: | Kreditsicherung | Collateral | Entropie | Entropy | Duales Optimierungsproblem | Dual optimization problem | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enth. in Vol. 10.2007,7, S. 1255-1260 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003503370