Modelling credit default swap spreads by means of normal mixtures and copulas
Year of publication: |
2004
|
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Authors: | Bee, Marco |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 11.2004, 2, p. 125-146
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Subject: | Multivariate Analyse | Multivariate analysis | Kreditrisiko | Credit risk | Swap | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative |
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