Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models (Q3404101)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models |
scientific article |
Statements
Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models (English)
0 references
5 February 2010
0 references
copulas
0 references
correlation modeling
0 references
credit derivatives
0 references
credit models
0 references
