Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
Year of publication: |
2013
|
---|---|
Authors: | Lee, Y. ; So, Leh-chyan |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | counterparty credit risk | synthetic CDO tranches | CDX NA IG index tranches | Gaussian copula model | credit value adjustment |
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