An improved implied copula model and its application to the valuation of bespoke CDO tranches
John Hull and Alan White
| Year of publication: |
2010
|
|---|---|
| Authors: | Hull, John ; White, Alan |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 8.2010, 3, p. 11-31
|
| Subject: | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Derivat | Derivative | Asset-Backed Securities | Asset-backed securities | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008654919