Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications (Q1938497)
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scientific article; zbMATH DE number 6138192
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications |
scientific article; zbMATH DE number 6138192 |
Statements
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications (English)
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21 February 2013
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portfolio default model
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scale mixture of Marshall-Olkin copulas
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hierarchical copula
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portfolio loss distribution
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CDO pricing
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