EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY (Q5169985)
From MaRDI portal
scientific article; zbMATH DE number 6317934
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY |
scientific article; zbMATH DE number 6317934 |
Statements
EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY (English)
0 references
17 July 2014
0 references
portfolio credit risk
0 references
CDO
0 references
copula
0 references
entropy
0 references
nonparametric estimation
0 references
0 references
0 references
