A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Year of publication: |
2009-02-26
|
---|---|
Authors: | Li, Yadong |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Credit | Correlation | CDO | Dynamic | Copula | Stochastic Recovery | Bottom-up | Top-down |
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