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zbMath1238.91130MaRDI QIDQ2888095

Areski Cousin, Diana Dorobantu, Didier Rullière

Publication date: 30 May 2012

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

exchangeability credit risk contagion model CDO tranches default distribution dependent defaults

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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