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Valuation of forward-starting CDOs - MaRDI portal

Valuation of forward-starting CDOs (Q3636732)

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Valuation of forward-starting CDOs
scientific article

    Statements

    title
    Valuation of forward-starting CDOs (English)
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    author
    Ken Jackson
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    Wanhe Zhang
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    publication date
    29 June 2009
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    zbMATH Keywords
    credit derivatives
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    forward-starting CDOs
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    conditional independence
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    Gaussian factor copula
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    65C20
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    65C50
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    zbMATH DE Number
    5571407
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    OpenAlex ID
    W2156311073
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