Change analysis for the dependence structure and dynamic pricing of basket default swaps
Ping Li and Ze-Zheng Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Li, Ping ; Li, Ze-Zheng |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 21.2015, 4, p. 646-671
|
| Subject: | change analysis | basket default swap | dynamic copula | dependence structure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Kreditderivat | Credit derivative | Swap | Kreditrisiko | Credit risk | Derivat | Derivative |
| 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/10011408174