Pricing distressed CDOs with stochastic recovery
| Year of publication: |
2010
|
|---|---|
| Authors: | Höcht, Stephan ; Zagst, Rudi |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 3, p. 219-244
|
| Publisher: |
Springer |
| Subject: | CDO | Nested archimedean copula | Stochastic recovery |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008673721