Copula sensitivity in collateralized debt obligations and basket default swaps
Year of publication: |
2004
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Authors: | Meneguzzo, Davide ; Vecchiato, Walter |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 24.2004, 1, p. 37-70
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Subject: | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Kreditsicherung | Collateral | Theorie | Theory | Swap | Derivat | Derivative | Asset-Backed Securities | Asset-backed securities |
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