Pricing distressed CDOs with stochastic recovery
type: Item
instance of: scholarly article
title: Pricing distressed CDOs with stochastic recovery
zbMATH Open document ID: 1213.91158
author: Stephan Höcht
author: R. Zagst
published in: Review of Derivatives Research
publication date: 2011-06-07T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 5904984
zbMATH Keywords: CDO
zbMATH Keywords: nested archimedean copula
zbMATH Keywords: stochastic recovery
MaRDI profile type: Publication
full work available at URL: s11147-009-9049-y
OpenAlex ID: W2039839615
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cites work: An introduction to copulas.
cites work: Hierarchies of Archimedean copulas
DOI: 10.1007/S11147-009-9049-Y
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description: scientific article; zbMATH DE number 5904984