ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH (Q5169990)
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scientific article; zbMATH DE number 6317937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH |
scientific article; zbMATH DE number 6317937 |
Statements
ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH (English)
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17 July 2014
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CDO pricing
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copula model
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forward copula
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copula chain
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CDO term structure
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forward base correlations
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