Informationally dynamized Gaussian copula
S. Crépey, M. Jeanblanc and D. Wu
| Year of publication: |
2013
|
|---|---|
| Authors: | Crépey, S. ; Jeanblanc, Monique ; Wu, Dong Li |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 2, p. 1-29
|
| Subject: | Gaussian copula | dynamic copula | credit derivatives | counterparty risk | CVA | hedging | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Kreditrisiko | Credit risk | Theorie | Theory | Hedging | Risikomanagement | Risk management | Kreditderivat | Credit derivative | Statistische Verteilung | Statistical distribution |
| 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/10009748717