Pricing credit derivatives with a copula-based actuarial model for credit risk
Giovanni Masala, Massimiliano Menzietti, and Marco Micocci
| Year of publication: |
2008
|
|---|---|
| Authors: | Masala, Giovanni ; Menzietti, Massimiliano ; Micocci, Marco |
| Published in: |
The credit derivatives handbook : global perspectives, innovations, and market drivers. - New York [u.a.] : McGraw-Hill, ISBN 978-0-07-154952-3. - 2008, p. 95-119
|
| Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003748408