Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Barbara Choroś-Tomczyk; Wolfgang Karl Härdle; Ostap Okhrin
| Year of publication: |
2013
|
|---|---|
| Authors: | Choroś-Tomczyk, Barbara ; Härdle, Wolfgang ; Okhrin, Ostap |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 24.2013, p. 42-62
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| Subject: | CDO | Multivariate distributions | Copulae | Correlation smile | Loss given default | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Statistische Verteilung | Statistical distribution | Asset-Backed Securities | Asset-backed securities | Korrelation | Correlation | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| 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/10010371991