Mixed copula model with stochastic correlation for CDO pricing
Jianli Chen; Zhen Liu; Shenghong Li
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Jianli ; Liu, Zhen ; Li, Shenghong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 40.2014, p. 167-174
|
| Subject: | Copula | Factor model | Correlation skew | Stochastic correlation | CDO | Korrelation | Correlation | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Asset-Backed Securities | Asset-backed securities | Kreditderivat | Credit derivative | Theorie | Theory | Derivat | Derivative | Portfolio-Management | Portfolio selection | 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/10010425701