Numerical methods to quantify the model risk of basket default swaps (Q2453103)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods to quantify the model risk of basket default swaps |
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Numerical methods to quantify the model risk of basket default swaps (English)
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6 June 2014
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model-risk
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basket default swap
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importance sampling
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credit derivative sensitives
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Archimedean copula
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