Applying a factor copula to value basket credit linked notes with issuer default risk
Year of publication: |
2010
|
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Authors: | Wu, Po-cheng |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 7.2010, 3, p. 178-183
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Subject: | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection |
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