STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS (Q5076160)
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scientific article; zbMATH DE number 7527426
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS |
scientific article; zbMATH DE number 7527426 |
Statements
STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS (English)
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16 May 2022
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Archimedean copulas
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nested Archimedean copulas
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portfolio risk
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CDO pricing
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expected premiums
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CDS portfolio
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default premiums
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