A Copula-Based Model of the Term Structure of CDO Tranches

DOI10.1007/978-3-540-69179-2_3zbMath1258.91194OpenAlexW117455869MaRDI QIDQ3542247

Sabrina Mulinacci, Umberto Cherubini, Silvia Romagnoli

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_3

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

On the distribution of the (un)bounded sum of random variables

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