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  • Search: subject:"One factor Gaussian copula"
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Year of publication
Subject
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Collateralized Debt Obligations 2 Basel Accord 1 Basket Default Swaps 1 Basler Akkord 1 Clayton copula 1 Copula Function 1 Credit risk 1 Kreditrisiko 1 Monte Carlo method 1 Multivariate Verteilung 1 Multivariate distribution 1 One Factor Gaussian Copula Model 1 One factor Gaussian copula 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Student’s t copula 1 Theorie 1 Theory 1 asymptotic single risk factor (ASRF) model 1 credit value-at-risk (VaR) 1 importance sampling 1 internal ratings-based (IRB) approach 1 one-factor Gaussian copula 1 regulatory capital 1 securitization 1 t-student copula 1 valuation 1
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Online availability
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Free 2
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Buzková, Petra 1 Fathi, Abid 1 Nader, Naifar 1 Rutkowski, Marek 1 Tarca, Silvio 1 Teplý, Petr 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of theoretical and applied finance 1 MPRA Paper 1 Prague Economic Papers 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model
Buzková, Petra; Teplý, Petr - In: Prague Economic Papers 2012 (2012) 1, pp. 30-49
during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding …
Persistent link: https://www.econbiz.de/10011195583
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Copula based simulation procedures for pricing basket Credit Derivatives
Fathi, Abid; Nader, Naifar - Volkswirtschaftliche Fakultät, … - 2007
This paper deals with the impact of structure of dependency and the choice of procedures for rare-event simulation on the pricing of multi-name credit derivatives such as nth to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the...
Persistent link: https://www.econbiz.de/10005622056
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