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Publication:2924695
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zbMath1313.91177MaRDI QIDQ2924695

Guimei Liu, Zhuo Chen, Wenbin Hu, Sheng-Hong Li

Publication date: 3 November 2014



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


zbMATH Keywords

Archimedean copulaCDO pricingcorrelation skews


Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)



Related Items (2)

HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH ⋮ Unnamed Item






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