The one-factor Gaussian copula applied to CDOs : just say NO (or, if you see a correlation smile, she is laughing at your "results")
Arturo Cifuentes and Georgios Katsaros
| Year of publication: |
2007
|
|---|---|
| Authors: | Cifuentes, Arturo ; Katsaros, Georgios |
| Published in: |
The journal of structured finance. - New York, NY : Institutional Investor, Inc., ISSN 1082-3220, ZDB-ID 22338986. - Vol. 13.2007/08, 3, p. 60-71
|
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10009881897