A CDO pricing model based on the mixture copula (Q2860186)
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scientific article; zbMATH DE number 6230539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CDO pricing model based on the mixture copula |
scientific article; zbMATH DE number 6230539 |
Statements
19 November 2013
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copula
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factor model
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CDO pricing model
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correlation smile
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stochastic correlation
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0.9361173
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0.90752053
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0.8991997
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0.8943397
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0.8907995
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0.88477474
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0.87475395
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A CDO pricing model based on the mixture copula (English)
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