Copula based simulation procedures for pricing collateralised debt obligations
Year of publication: |
2010
|
---|---|
Authors: | Abid, Fathi ; Naifar, Nader |
Published in: |
International Journal of Applied Management Science. - Inderscience Enterprises Ltd, ISSN 1755-8913. - Vol. 2.2010, 3, p. 239-261
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | collateralised debt obligations | Monte Carlo simulation | Gaussian copula | basket credit derivatives | collateral | collaterisation | names | investors | investments | defaulting | dependency | price drivers | correlation | hazard rates | recovery rates | portfolio losses | default risk | fat tails | t-student distributions | financial hedging | regulators | regulation | regulatory bodies | central banks | banking | risk management |
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