A comparative analysis of correlation skew modeling techniques for CDO index tranches
Year of publication: |
2006-09-08
|
---|---|
Authors: | Claudio, Ferrarese |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | default risks | CDOs | index tranches | factor model | copula | correlation skew | stochastic correlation |
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