The underlying dynamics of credit correlations
Year of publication: |
2008
|
---|---|
Authors: | Berd, Arthur ; Engle, Robert F. ; Voronov, Artem |
Published in: |
The definitive guide to CDOs : market, application, valuation and hedging. - London : Risk Books, ISBN 978-1-906348-01-4. - 2008, p. 73-116
|
Subject: | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Asset-Backed Securities | Asset-backed securities | ARCH-Modell | ARCH model |
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