CREDIT DERIVATIVES Squaring factor copula models - The authors discuss synthetic CDO of CDO tranches and present a quasi-analytical framework for the valuation and hedging of this and other similar 'squared' products.
Year of publication: |
2005
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Authors: | Baheti, Prasun ; Mashal, Roy ; Naldi, Marco ; Schloegl, Lutz |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 6, p. 73-76
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