Modeling joint default in correlation-sensitive instruments
Dariusz Ga̧tarek and Juliusz Jabłecki
| Year of publication: |
September 2016
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|---|---|
| Authors: | Gatarek, Dariusz ; Jabłecki, Juliusz |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 12.2016, 3, p. 15-42
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| Subject: | default correlation | Marshall-Olkin | European Financial Stability Facility (EFSF) | credit value adjustment (CVA) | collateralized debt obligation (CDO) | Kreditrisiko | Credit risk | Theorie | Theory | Asset-Backed Securities | Asset-backed securities | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Derivat | Derivative | Korrelation | Correlation | EU-Staaten | EU countries | Europa | Europe |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2016.211 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642666