ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH
Year of publication: |
2007
|
---|---|
Authors: | SIDENIUS, JAKOB |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 04, p. 749-761
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | CDO pricing | copula model | forward copula | copula chain | CDO term structure | forward base correlations |
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