A Copula Approach to Default Correlation and the Pricing of Basket Default Swap (Q3104332)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Copula Approach to Default Correlation and the Pricing of Basket Default Swap |
scientific article |
Statements
A Copula Approach to Default Correlation and the Pricing of Basket Default Swap (English)
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19 December 2011
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first-to-default swap
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copulas
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default correlation
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hazard rate function
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