The one-factor Gaussian copula applied to CDOs : just say NO (or, if you see a correlation smile, she is laughing at your "results")
Arturo Cifuentes and Georgios Katsaros
| Year of publication: |
2007
|
|---|---|
| Authors: | Cifuentes, Arturo ; Katsaros, Georgios |
| Published in: |
The journal of structured finance. - New York, NY : Pageant Media, Ltd., ISSN 1551-9783, ZDB-ID 2233898-6. - Vol. 13.2007/08, 3, p. 60-71
|
| Subject: | Multivariate Verteilung | Multivariate distribution | Asset-Backed Securities | Asset-backed securities | Verbriefung | Securitization | Kreditwürdigkeit | Credit rating |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003862373