A Copula Approach to Default Correlation and the Pricing of Basket Default Swap
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Publication:3104332
DOI10.1080/01966324.2010.10737776zbMath1229.91361OpenAlexW2038522623MaRDI QIDQ3104332
Lina Yue, Housheng Chen, Ping Li
Publication date: 19 December 2011
Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01966324.2010.10737776
Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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