Dynamic Conditioning and Credit Correlation Baskets
Year of publication: |
2008-01-25
|
---|---|
Authors: | Albanese, Claudio ; Vidler, Alicia |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | CDO | pricing | dynamic conditioning | correlation modeling | semi-parametric | operator methods |
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