Informationally dynamized Gaussian copula
Year of publication: |
2013
|
---|---|
Authors: | Crépey, S. ; Jeanblanc, Monique ; Wu, Dong Li |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 2, p. 1-29
|
Subject: | Gaussian copula | dynamic copula | credit derivatives | counterparty risk | CVA | hedging | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Kreditrisiko | Credit risk | Hedging | Stochastischer Prozess | Stochastic process | Kreditderivat | Credit derivative | Statistische Verteilung | Statistical distribution |
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