Copula based simulation procedures for pricing basket Credit Derivatives
Year of publication: |
2007-03
|
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Authors: | Fathi, Abid ; Nader, Naifar |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Collateralized Debt Obligations | Basket Default Swaps | Monte Carlo method | One factor Gaussian copula | Clayton copula | t-student copula | importance sampling |
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