A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
Year of publication: |
2009
|
---|---|
Authors: | MAI, JAN-FREDERIK ; SCHERER, MATTHIAS |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 02, p. 227-249
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Lévy subordinator | Cuadras-Augé copula | CDO pricing | portfolio-loss process | multivariate default model |
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