Synthetic CDO pricing : the perspective of risk integration
Conghui Hu, Xun Zhang and Qiuming Gao
| Year of publication: |
2015
|
|---|---|
| Authors: | Hu, Conghui ; Zhang, Xun ; Gao, Qiuming |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 13/15, p. 1574-1587
|
| Subject: | collateral debt obligation (CDO) | risk integration | factor model | copula | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Asset-Backed Securities | Asset-backed securities | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Kreditderivat | Credit derivative | Risikomanagement | Risk management | Risiko | Risk | CAPM |
| 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/10010512015